OFFERING CIRCULAR 24 January 2017 Bank of America Corporation

24 January 2017
OFFERING CIRCULAR
Bank of America Corporation
(a Delaware (U.S.A.) Corporation)
Merrill Lynch B.V.
(a Dutch Private Limited Liability Company)
Merrill Lynch International & Co. C.V.
(a Curaçao Limited Partnership)
NOTE, WARRANT AND CERTIFICATE PROGRAMME
Irrevocably guaranteed
(in respect of Instruments issued by Merrill Lynch B.V., and (other than Secured W&C Instruments)
issued by Merrill Lynch International & Co. C.V.)
by
Bank of America Corporation
This document (the "Offering Circular") constitutes an offering circular in respect of the Programme (as
defined below). Any Instruments (as defined below) issued on or after the date of this Offering Circular
are issued subject to the provisions herein. This Offering Circular does not constitute a base prospectus
for the purpose of Article 5.4 of Directive 2003/71/EC (as amended by Directive 2010/73/EU, the
"Prospectus Directive"). This Offering Circular supersedes and replaces the Offering Circular dated 10
May 2016.
Under the terms of the Note, Warrant and Certificate Programme (the "Programme"), Bank of America
Corporation ("BAC") may from time to time issue notes ("Notes"), Merrill Lynch B.V. ("MLBV") may
from time to time issue Notes or certificates ("Certificates") and Merrill Lynch International & Co. C.V.
("MLICo." and, together with BAC in its capacity as an issuer and MLBV, the "Issuers" and each an
"Issuer") may from time to time issue Certificates or warrants ("Warrants" and, together with
Certificates, "W&C Instruments", and W&C Instruments together with Notes, "Instruments").
Instruments of any kind may be issued including, but not limited to, Instruments relating to a specified
index or a basket of indices ("Index Linked Instruments"), a specified share or a basket of shares
("Share Linked Instruments"), a specified global depositary receipt ("GDR") or American depositary
receipt ("ADR") or a basket of GDRs and/or ADRs ("GDR/ADR Linked Instruments"), a specified
currency or a basket of currencies ("FX Linked Instruments"), a specified commodity or commodity
index or a basket of commodities and/or commodity indices ("Commodity Linked Instruments"), a
specified fund or a basket of funds ("Fund Linked Instruments"), a specified inflation index or a basket
of inflation indices ("Inflation Linked Instruments"), the credit of a specified entity or entities ("Credit
Linked Instruments") and, in the case of Warrants, a specified share of a company listed on the Saudi
Stock Exchange (Tadawul) or a basket of such shares ("Saudi Share Linked Warrants") or any
combination of the foregoing (and each such underlying asset or basis of reference, a "Reference Item").
Instruments may also bear interest (in the case of Notes) or pay additional amounts (in the case of W&C
Instruments). MLICo. may also issue W&C Instruments that are secured, in favour of Holders of the
W&C Instruments, by a segregated pool of collateral assets (the "Secured W&C Instruments"). Each
issue of Notes will be issued on the terms set out herein which are relevant to such Notes under "Terms
and Conditions of the Notes" on pages 153 to 194 and the additional Terms and Conditions on pages 304
to 339, pages 359 to 476 and pages 546 to 551 (the "Note Conditions") and each issue of Warrants and
Certificates will be issued on the terms set out herein which are relevant to such W&C Instruments under
"Terms and Conditions of the W&C Instruments" on pages 239 to 302 and the additional Terms and
Conditions on pages 304 to 406, pages 477 to 545 and pages 552 to 629 (the "W&C Instruments
Conditions") and, in each case, on such additional terms as may be set out in the applicable final terms
(the "Final Terms"). Notes issued by BAC will be governed by, and construed in accordance with,
the laws of the State of New York. Notes issued by MLBV, and any non-contractual obligations
arising out of them, will be governed by, and construed in accordance with, English law. The W&C
Instruments, and any non-contractual obligations arising out of them, will be governed by, and
construed in accordance with, English law.
BAC (in such capacity, the "Guarantor") (a) has in a guarantee dated 10 May 2016 (the "Non-COSI
Guarantee"), irrevocably and unconditionally guaranteed the payment and non-cash delivery obligations
in respect of the Instruments (other than the Swiss COSIs (as defined in the W&C Instruments
Conditions) and the Secured W&C Instruments issued by MLICo.) issued by each of MLBV and MLICo.
from time to time under the Programme on or after the date of this Offering Circular (see the section
entitled "Form of Non-COSI Guarantee"), and (b) will in a guarantee to be executed by BAC,
substantially in the form contained in the section entitled "Form of Swiss COSI Guarantee" in this
Offering Circular (the "Swiss COSI Guarantee" and, together with the Non-COSI Guarantee, the
"Guarantees" and each a "Guarantee") conditionally but irrevocably guarantee MLICo.'s payment
obligations to the extent of any Shortfall (as defined in the W&C Instruments Conditions) in respect of
the Swiss COSIs issued by MLICo. from time to time under the Programme on or after the date of the
Swiss COSI Guarantee (see the section entitled "Form of Swiss COSI Guarantee"). Each of the
Guarantees will be governed by, and construed in accordance with, the laws of the State of New
York. Secured W&C Instruments issued by MLICo. will not benefit from the Guarantees.
The maximum aggregate nominal amount of all Notes issued by MLBV from time to time outstanding
under the Programme and MLBV's other structured products programmes will not exceed
€15,000,000,000 (or its equivalent in other currencies), subject to increase as described in the Programme
Agreement (as defined under "Offering and Sale" below). The maximum aggregate nominal amount of
all Notes issued by BAC from time to time outstanding under the Programme and certain other BAC
international securities programmes and platforms will not exceed U.S.$8,000,000,000 (or its equivalent
in other currencies), subject to increase as described in the Programme Agreement.
Application has been made to the Luxembourg Stock Exchange for Instruments issued under the
Programme to be admitted to trading on the Luxembourg Stock Exchange's Euro MTF market and to be
listed on the Official List of the Luxembourg Stock Exchange. The Luxembourg Stock Exchange's Euro
MTF market is not a regulated market for the purposes of the Markets in Financial Instruments Directive
(Directive 2004/39/EC) ("MiFID"). The Programme provides that Instruments may be listed or admitted
to trading, as the case may be, on such further or other stock exchanges or markets as the relevant Issuer
and the Dealer(s) (as defined herein) may agree. The applicable Final Terms will specify whether the
Instruments are to be listed (and, if so, on which stock exchange(s) and/or market(s)) or will be unlisted
Instruments.
In respect of Instruments constituting structured products within the meaning of Article 5 of the Swiss
Federal Act on Collective Investment Schemes of 23 June 2006 (the "CISA") ("Structured Products")
which are intended to be listed on SIX Swiss Exchange, the relevant Final Terms in respect of such
Instruments will specify that such Instruments will be listed on SIX Swiss Exchange and application for
trading of such Instruments on SIX Structured Products Exchange or any successor thereto has been or
will be made. In the case of a listing of Instruments constituting Structured Products on SIX Swiss
Exchange, this Offering Circular will constitute the base prospectus for a SIX Swiss Exchange registered
issuance programme pursuant to Article 21 of the Additional Rules for the Listing of Derivatives of SIX
Swiss Exchange and may be supplemented from time to time by filing an appropriate supplement (each a
"Supplement") with SIX Swiss Exchange which modifies, updates or amends the information contained
herein. This Offering Circular, together with any Supplement and the applicable Final Terms, will
constitute the listing prospectus pursuant to the Listing Rules of SIX Swiss Exchange.
In respect of Instruments constituting Structured Products which are not listed on SIX Swiss Exchange
("Unlisted Structured Products") and which are intended to be distributed in Switzerland to nonqualified investors within the meaning of the CISA, the relevant Issuer will set forth all information
which may be required to be disclosed in a simplified prospectus complying with Article 5 CISA, its
implementing regulations and the Swiss Banking Guidelines on Informing Investors about Structured
Products (as amended from time to time) in separate document referred to as "Final Terms" and/or
"Simplified Prospectus" and the relevant Issuer reserves the right to prepare such separate document for
any other Instruments constituting Structured Products.
The Instruments, the Guarantees and, in certain cases, any securities to be delivered upon exercise or
settlement of the Instruments (if any) have not been and will not be registered under the U.S. Securities
Act of 1933, as amended (the "Securities Act"), or under any U.S. state securities laws. The Instruments,
the Guarantees and certain Entitlements do not constitute, and have not been marketed as, contracts of
sale of a commodity for future delivery (or options thereon) subject to the U.S. Commodity Exchange Act
of 1936, as amended (the "CEA"), and trading in the Instruments has not been approved by the U.S.
Commodity Futures Trading Commission (the "CFTC") pursuant to the CEA. The Instruments may not
be offered, sold, resold, traded, transferred, pledged, delivered, exercised or redeemed, directly or
indirectly, at any time within the United States or to, or for the account or benefit of, any U.S. person (as
2
defined by Regulation S under the Securities Act) (other than distributors) (in the case of Notes issued by
BAC) or any United States Person (as defined herein) (other than distributors) (in the case of Notes issued
by MLBV or in the case of W&C Instruments) except pursuant to an exemption from, or in a transaction
not subject to, the registration requirements of the Securities Act. In addition, all issues of Notes by
MLBV, all Certificates and all Warrants (other than Rule 144A Warrants), and certain Entitlements (if
any) relating to such Instruments, may not be legally or beneficially owned by United States Persons at
any time nor offered, sold or delivered in the United States or to, or for the account or benefit of, United
States Persons. None of the Issuers has registered as an investment company pursuant to the U.S.
Investment Company Act of 1940, as amended (the "1940 Act"), and the rules thereunder. MLICo. may
offer and sell Warrants of certain issues within the United States or to, or for the account or benefit of,
United States Persons, if such persons are reasonably believed by MLICo. to be qualified institutional
buyers (each a "QIB") as defined in Rule 144A under the Securities Act ("Rule 144A") who are also each
a qualified purchaser (each a "QP") within the meaning of Section 3(c)(7) and as defined in Section
2(a)(51) of the 1940 Act and the rules thereunder and who have executed an Investor Representation
Letter (as defined herein) prior to acquiring any interest in such Warrants, such Warrants being referred to
in this Offering Circular as "Rule 144A Warrants". Each purchaser of Rule 144A Warrants is hereby
notified that the offer and sale of such Rule 144A Warrants is being made in reliance upon the exemption
from the securities registration requirements of the Securities Act provided by Rule 144A and upon the
relevant exemptions from U.S. state securities laws and any other applicable laws of other jurisdictions,
and that such Rule 144A Warrants are not transferable except as provided under "Offering and Sale"
below. In certain circumstances, exercise or settlement of Instruments will be conditional upon
certification as to non-U.S. beneficial ownership or, in the case of a Series (as defined below) of Rule
144A Warrants, that the holder (and any person on whose behalf the holder is acting) is a QIB and a QP.
See "Terms and Conditions of the W&C Instruments" on pages 239 to 302 and "Additional Terms and
Conditions for Rule 144A Warrants" on pages 552 to 561. Investors in the Instruments will be deemed to
have made or be required to make certain acknowledgements, representations and warranties in
connection with purchasing the Instruments. See "Notice to Purchasers and Holders of Instruments and
Transfer Restrictions" on pages 645 to 658. Rule 144A Warrants will, unless otherwise specified in the
applicable Final Terms, be sold through Merrill Lynch, Pierce, Fenner & Smith Incorporated or one of its
affiliates, which in each case is a registered broker dealer in the United States.
Rule 144A Warrants relating to commodities and commodities futures may only be offered, sold or resold
in or into the United States pursuant to one or more applicable exemptions and/or exclusions under the
CEA. MLICo. and the Guarantor reserve the right not to make payment or delivery in respect of any such
Rule 144A Warrant to a person in the United States or a United States Person if such payment or delivery
would constitute a violation of U.S. law.
Unless otherwise indicated, as used in this Offering Circular, "United States Person" means a person
which is a "U.S. person" as defined by Regulation S under the Securities Act or a "United States person"
as defined in Section 7701(a)(30) of the U.S. Internal Revenue Code of 1986, as amended (the "Code"),
and in the U.S. Department of the Treasury (the "U.S. Treasury") regulations.
For a description of certain further restrictions on offers and sales of the Instruments and on the
distribution of this Offering Circular, see "Offering and Sale" on pages 697 to 724.
The Notes issued by BAC are unsecured and are not and will not be savings accounts, deposits or
obligations of, or otherwise guaranteed by, Bank of America, N.A. ("BANA") or any other bank. The
Notes issued by BAC do not evidence deposits of BANA or any other banking affiliate of BAC and are
not insured by the U.S. Federal Deposit Insurance Corporation, the Deposit Insurance Fund or any other
insurer or governmental agency or instrumentality.
Each issue of Instruments will be issued in the form set out in "Form of the Instruments" on pages 110 to
115.
Prospective purchasers of Instruments should ensure that they understand the nature of the
relevant Instruments and the extent of their exposure to risks and that they consider the suitability
of the relevant Instruments as an investment in light of their own circumstances and financial
condition. Instruments involve a high degree of risk and potential investors should be prepared to
sustain a total loss of the purchase price of their Instruments. See "Risk Factors" on pages 38 to 97.
BofA MERRILL LYNCH
3
Important Notices
IMPORTANT NOTICES
This Offering Circular is a ''prospectus'' for the purposes of the admission to listing on the
Official List of the Luxembourg Stock Exchange and to trading of the Instruments on the Euro
MTF in accordance with the rules and regulations of the Luxembourg Stock Exchange. The Euro
MTF is not a ''regulated market'' for the purposes of MiFID. This document does not constitute
a prospectus for the purposes of Article 5.4 of the Prospectus Directive. This Offering Circular is
not a prospectus for the purposes of Section 12(a)(2) or any other provision of or rule under the
Securities Act.
BAC accepts responsibility for the information set forth under "Bank of America Corporation"
on pages 659 to 661, the information set forth under "Selected Financial Data of Bank of
America Corporation" on pages 662 to 663, information incorporated by reference in respect of
BAC and the statements in respect of BAC under "General Information" on pages 725 to 728
and to the best of the knowledge of BAC (having taken all reasonable care to ensure that such is
the case), such information is in accordance with the facts and does not omit anything likely to
affect the import of such information. BAC has accurately reproduced the information contained
in the MLBV Offering Circular and MLICo. Offering Circular and accepts responsibility for the
accurate reproduction of such information.
MLBV accepts responsibility for the information contained in this Offering Circular, excluding
the information set out under "Bank of America Corporation" on pages 659 to 661, the
information set out under "Selected Financial Data of Bank of America Corporation" on pages
662 to 663, the information set out under "Merrill Lynch International & Co. C.V." on pages 669
to 670, the information set out under "Selected Financial Data of Merrill Lynch International &
Co. C.V." on pages 671 to 672, the information set out under "Annex 3 – Additional Terms and
Conditions for Low Exercise Price Warrants" on pages 340 to 358, the information set out under
"Annex 11 – Additional Terms and Conditions for Rule 144A Warrants" on pages 552 to 561, the
information set out under "Annex 12 – Additional Terms and Conditions for Saudi Share Linked
Warrants" on pages 562 to 567, the information set out under "Annex 13 – Additional Terms and
Conditions for Secured Static/Floating W&C Instruments" on pages 568 to 603, the information set
out under "Annex 14 – Additional Terms and Conditions for Secured Fully Floating W&C
Instruments" on pages 604 to 629, the information set out under "Annex 15 - Additional Terms
and Conditions for Swiss COSIs" on page 630, the information set out under "Collateral-Secured
Instruments (COSIs)" on pages 631 to 634, the information set out under "Form of Swiss COSI
Guarantee" on pages 638 to 639, information incorporated by reference in respect of BAC and
MLICo. and statements in respect of BAC and MLICo. under "General Information" on pages
725 to 728 (together, the "MLBV Offering Circular"), and to the best of the knowledge of MLBV
(having taken all reasonable care to ensure that such is the case), the information contained in
the MLBV Offering Circular is in accordance with the facts and does not omit anything likely to
affect the import of such information.
MLICo. accepts responsibility for the information contained in this Offering Circular, excluding
the information set out under "Bank of America Corporation" on pages 659 to 661, the
information set out under "Selected Financial Data of Bank of America Corporation" on pages
662 to 663, the information set out under "Merrill Lynch B.V." on pages 664 to 665, the
information set out under "Selected Financial Data of Merrill Lynch B.V." on pages 666 to 668,
the information set out under "Form of Final Terms of the Notes" on pages 116 to 152, the
information set out under "Terms and Conditions of the Notes" on pages 153 to 194, the
information set out under "Use of Proceeds of the Notes" on page 195, the information set out
under "Annex 9A – Additional Terms and Conditions for Credit Linked Notes" on pages 407 to
476, the information set out under "Annex 10 – Additional Terms and Conditions for Physical
Delivery Notes" on pages 546 to 551, the information incorporated by reference in respect of BAC
and MLBV and statements in respect of BAC and MLBV under "General Information" on pages
725 to 728 (together, the "MLICo. Offering Circular"), and to the best of the knowledge of
MLICo. (having taken all reasonable care to ensure that such is the case), the information
contained in the MLICo. Offering Circular is in accordance with the facts and does not omit
anything likely to affect the import of such information.
4
Important Notices
In relation to any Instruments that are listed on SIX Swiss Exchange, BAC confirms that the
information contained in the BAC Offering Circular is, to the best of BAC's knowledge, correct,
and that no material facts or circumstances have been omitted from the BAC Offering Circular.
In relation to any Instruments that are listed on SIX Swiss Exchange, MLBV confirms that the
information contained in the MLBV Offering Circular is, to the best of MLBV's knowledge,
correct, and that no material facts or circumstances have been omitted from the MLBV Offering
Circular.
In relation to any Instruments that are listed on SIX Swiss Exchange, MLICo. confirms that the
information contained in the MLICo. Offering Circular is, to the best of MLICo.'s knowledge,
correct, and that no material facts or circumstances have been omitted from the MLICo.
Offering Circular.
Subject as provided in the applicable Final Terms, the only persons authorised to use this
Offering Circular in connection with an offer of Instruments are the persons named in the
applicable Final Terms as the relevant Issuer or the relevant Dealer(s) or Manager(s), as the case
may be.
Information contained in this Offering Circular which is sourced from a third party has been
accurately reproduced and, as far as each Issuer and the Guarantor is aware and is able to
ascertain from information published by the relevant third party, no facts have been omitted
which would render the reproduced information inaccurate or misleading. Each Issuer has also
identified the source(s) of such information.
The applicable Final Terms (if applicable) will specify the nature of the responsibility taken by
the relevant Issuer and the Guarantor (if applicable) for the information relating to the
Reference Item to which the relevant Instruments relate and which is contained in such Final
Terms.
NOTICE TO NEW HAMPSHIRE RESIDENTS
NEITHER THE FACT THAT A REGISTRATION STATEMENT OR AN APPLICATION
FOR A LICENSE HAS BEEN FILED UNDER CHAPTER 421-B OF THE NEW HAMPSHIRE
REVISED STATUTES ANNOTATED, 1955, AS AMENDED ("RSA 421-B") WITH THE
STATE OF NEW HAMPSHIRE NOR THE FACT THAT A SECURITY IS EFFECTIVELY
REGISTERED OR A PERSON IS LICENSED IN THE STATE OF NEW HAMPSHIRE
CONSTITUTES A FINDING BY THE SECRETARY OF STATE OF NEW HAMPSHIRE
THAT ANY DOCUMENT FILED UNDER RSA 421-B IS TRUE, COMPLETE AND NOT
MISLEADING. NEITHER ANY SUCH FACT NOR THE FACT THAT AN EXEMPTION IS
AVAILABLE FOR A SECURITY OR A TRANSACTION MEANS THAT THE SECRETARY
OF STATE HAS PASSED IN ANY WAY UPON THE MERITS OR QUALIFICATIONS OF,
OR RECOMMENDED OR GIVEN APPROVAL TO, ANY PERSON, SECURITY OR
TRANSACTION. IT IS UNLAWFUL TO MAKE, OR CAUSE TO BE MADE, TO ANY
PROSPECTIVE PURCHASER, CUSTOMER OR CLIENT ANY REPRESENTATION
INCONSISTENT WITH THE PROVISIONS OF THIS PARAGRAPH.
No person is or has been authorised by BAC, MLBV, MLICo. or Merrill Lynch International
("MLI")* to give any information or to make any representation not contained in or not
consistent with this Offering Circular or any other information supplied in connection with the
Programme and, if given or made, such information or representation must not be relied upon as
having been authorised by BAC, MLBV, MLICo., MLI or any other Dealer of an issue of
Instruments. This Offering Circular does not constitute, and may not be used for the purposes of,
an offer or solicitation by anyone in any jurisdiction in which such offer or solicitation is not
authorised or to any person to whom it is unlawful to make such offer or solicitation and no
action is being taken to permit an offering of the Instruments or the distribution of this Offering
Circular in any jurisdiction where any such action is required.
*
The marketing name of MLI is BofA Merrill Lynch as set out on page 4.
5
Important Notices
This Offering Circular is to be read and construed in conjunction with all documents which are,
or are deemed to be, incorporated herein by reference (see "Documents Incorporated by
Reference" on pages 11 to 25). This Offering Circular shall be read and construed on the basis
that such documents are incorporated in and form part of this Offering Circular.
The Instruments of each issue may be sold by the relevant Issuer and/or any Dealer at such time
and at such prices as the relevant Issuer and/or the Dealer(s) may select. There is no obligation
upon the relevant Issuer or any Dealer to sell all of the Instruments of any issue. The Instruments
of any issue may be offered or sold from time to time in one or more transactions in the over-thecounter market or otherwise at prevailing market prices or in negotiated transactions, at the
discretion of the relevant Issuer.
Subject as provided in the "Terms and Conditions of the Notes" and the "Terms and Conditions
of the W&C Instruments", as applicable, each Issuer shall have complete discretion as to what
type of Instruments it issues and when.
Apart from BAC, MLBV and MLICo., no other party has independently verified the information
contained herein. Accordingly, no representation, warranty or undertaking, express or implied,
is made and no responsibility or liability is accepted by any Dealer as to the accuracy or
completeness of the information contained in this Offering Circular or any other information
provided by BAC, MLBV and/or MLICo. No Dealer accepts any liability in relation to the
information contained or incorporated by reference in this Offering Circular or any other
information provided by BAC, MLBV and/or MLICo. in connection with the Programme.
Neither this Offering Circular nor any other information supplied in connection with the
Programme or any Instruments (a) is intended to provide the basis of any credit or other
evaluation or (b) should be considered as a recommendation by BAC, MLBV and/or MLICo. or
any Dealer that any recipient of this Offering Circular or any other information supplied in
connection with the Programme or any Instruments should purchase any Instruments. Each
investor contemplating purchasing any Instruments should make its own independent
investigation of the financial condition and affairs, and its own appraisal of the creditworthiness,
of the relevant Issuer and the Guarantor (if applicable). Neither this Offering Circular nor any
other information supplied in connection with the Programme or any issue of Instruments
constitutes an offer or an invitation by or on behalf of BAC, MLBV and/or MLICo. or any
Dealer or any other person to subscribe for or to purchase any Instruments.
Neither the delivery of this Offering Circular nor the offering, sale or delivery of any
Instruments shall in any circumstances imply that the information contained herein concerning
BAC, MLBV and/or MLICo. is correct at any time subsequent to the date hereof or that any
other information supplied in connection with the Programme is correct as of any time
subsequent to the date indicated in the document containing the same. No Dealer undertakes to
review the financial condition or affairs of BAC, MLBV and/or MLICo. during the life of the
Programme or to advise any investor in the Instruments of any information coming to their
attention.
This Offering Circular does not constitute an offer to sell or the solicitation of an offer to buy any
Instruments in any jurisdiction to any person to whom it is unlawful to make such offer or
solicitation in such jurisdiction. The distribution of this Offering Circular and the offer or sale of
Instruments may be restricted by law in certain jurisdictions. None of BAC, MLBV, MLICo. and
any Dealer represents that this Offering Circular may be lawfully distributed, or that any
Instruments may be lawfully offered, in compliance with any applicable registration or other
requirements in any jurisdiction, or pursuant to an exemption available thereunder, or assumes
any responsibility for facilitating any such distribution or offer. In particular, unless specifically
indicated to the contrary in the applicable Final Terms, no action has been taken by BAC,
MLBV, MLICo. or any Dealer which is intended to permit a public offering of any Instruments
or distribution of this Offering Circular in any jurisdiction where action for that purpose is
required. Accordingly, no Instruments may be offered or sold, directly or indirectly, and neither
this Offering Circular nor any advertisement or other offering material may be distributed or
published in any jurisdiction, except under circumstances that will result in compliance with any
applicable laws and regulations. Persons into whose possession this Offering Circular or any
Instruments may come must inform themselves about, and observe, any such restrictions on the
6
Important Notices
distribution of this Offering Circular and the offering and sale of Instruments. In particular,
there are restrictions on the distribution of this Offering Circular and the offer or sale of
Instruments in the United States, the European Economic Area (including Luxembourg, the
United Kingdom, France, Italy and The Netherlands), Argentina, Australia, Bahrain, Brazil,
Chile, Colombia, Hong Kong, India, Indonesia, Israel, Japan, Malaysia, Mexico, Panama, Peru,
Philippines, Singapore, South Korea, Spain, Switzerland, Taiwan, Thailand, Uruguay and
Venezuela, and such other restrictions as may be required in connection with the offering and
sale of a particular Series of Instruments (see "Offering and Sale" on pages 697 to 724). In
particular, the Instruments, the Guarantees and, in certain cases, any securities to be delivered
upon exercise or settlement of the Instruments (if any) have not been and will not be registered
under the Securities Act.
This Offering Circular has been prepared on the basis that any offer of Instruments in any
Member State of the European Economic Area which has implemented the Prospectus Directive
(each, a "Relevant Member State") will be made pursuant to an exemption under the Prospectus
Directive, as implemented in that Relevant Member State, from the requirement to publish a
prospectus for offers of Instruments. Accordingly any person making or intending to make an
offer in that Relevant Member State of Instruments which are the subject of an offering
contemplated in this Offering Circular as completed by the applicable Final Terms in relation to
the offer of those Instruments may only do so in circumstances in which no obligation arises for
the relevant Issuer or any Dealer to publish a prospectus pursuant to Article 3 of the Prospectus
Directive or supplement a prospectus pursuant to Article 16 of the Prospectus Directive, in each
case, in relation to such offer. None of the relevant Issuer, the Guarantor (if applicable) and any
Dealer have authorised, nor do they authorise, the making of any offer of Instruments in
circumstances in which an obligation arises for the relevant Issuer, the Guarantor (if applicable)
or any Dealer to publish or supplement a prospectus for such offer.
No Notes issued by MLBV or W&C Instruments (other than Rule 144A Warrants), or any
interests therein, may at any time be offered, sold, resold, pledged, assigned, delivered or
otherwise transferred, exercised or redeemed, directly or indirectly, in the United States or to, or
for the account or benefit of, United States Persons and any offer, sale, resale, pledge,
assignment, delivery or other transfer, exercise or redemption made, directly or indirectly,
within the United States or to, or for the account or benefit of, a United States Person will not be
recognised. See "Notice to Purchasers and Holders of Instruments and Transfer Restrictions"
and "Offering and Sale". No Notes issued by BAC may be offered, sold, resold, traded,
transferred, pledged, delivered, exercised or redeemed, directly or indirectly, in the United States
or to, or for the account or benefit of, a U.S. person (as defined in Regulation S) except pursuant
to an exemption from, or in a transaction not subject to, the registration requirements of the
Securities Act. The Notes issued by BAC will be subject to certain restrictions on transfer – see
"Offering and Sale".
The Instruments and the Guarantees have not been approved or disapproved by the U.S.
Securities and Exchange Commission (the "SEC") or any other securities commission or other
regulatory authority in the United States, nor have the foregoing authorities reviewed or passed
upon the accuracy or adequacy of this Offering Circular. Any representation to the contrary is a
criminal offence in the United States. The Instruments, the Guarantees and certain Entitlements
do not constitute, and have not been marketed as, contracts of sale of a commodity for future
delivery (or options thereon) subject to the CEA, and trading in the Instruments has not been
approved by the CFTC pursuant to the CEA.
This Offering Circular is being submitted on a confidential basis in the United States to a limited
number of QIBs who are also QPs for informational use solely in connection with the
consideration of the purchase of the Rule 144A Warrants. It may not be copied or reproduced in
the United States in whole or in part nor may it be distributed or any of its contents disclosed to
anyone in the United States other than the prospective investors to whom it is originally
submitted.
Each purchaser or holder of interests in the Warrants will be deemed, by its acceptance or
purchase of any such Warrants, to have made, or will be required to make, certain
representations and agreements as set out in "Notice to Purchasers and Holders of Instruments
and Transfer Restrictions" and "Offering and Sale".
7
Important Notices
Notwithstanding anything to the contrary contained herein, each holder and beneficial owner of
the Instruments (and each employee, representative, or other agent of each holder and beneficial
owner of the Instruments) may disclose to any and all persons, without limitation of any kind, the
tax treatment and tax structure of the transactions described herein and all materials of any kind
that are provided to the holder or beneficial owner of the Instruments relating to such tax
treatment and tax structure (as such terms are defined in U.S. Treasury Regulation Section
1.6011-4). This authorisation of tax disclosure is retroactively effective to the commencement of
discussions with holders or beneficial owners of the Instruments regarding the transactions
contemplated herein.
None of BAC, MLBV and MLICo. has investigated, and none has or may have access to
information that would permit it to ascertain, whether any company which has issued equity,
debt or other instruments to which any Instruments relate is for U.S. tax purposes a passive
foreign investment company, a controlled foreign corporation, a publicly-traded partnership or
other type of pass-through entity. Prospective investors in any Instruments that are U.S.
taxpayers should consult their own advisers concerning U.S. tax considerations relevant to an
investment in such Instruments.
If Instruments are linked to Reference Items that are Shares of one or more United States
issuers, such Shares must be registered with the SEC. In addition, if Instruments are linked to
Reference Items that are (i) Shares of one or more United States issuers or (ii) indices comprised
of stock, Shares or other securities of United States issuers, such United States issuers must be, at
the time of the issuance of the relevant Instruments, a reporting issuer under the U.S. Securities
Exchange Act of 1934, as amended (the "Exchange Act"). If Instruments are linked to Reference
Items that are ADRs, such ADRs must be listed or admitted to trading on a U.S. securities
exchange registered under the Exchange Act or included in the OTC Bulletin Board Service
operated by the Financial Industry Regulatory Authority, Inc.
In this Offering Circular, references to "U.S.$", "$" and "U.S. dollars" are to United States
Dollars; references to "A$" are to Australian dollars; references to "EUR", "Euro", "euro" and
"€" are to the lawful single currency of the member states of the European Union that have
adopted and continue to retain a common single currency through monetary union in accordance
with European Union treaty law (as amended from time to time); references to "SEK" are to
Swedish krona, and references to "CNY" are to Chinese Renminbi, the lawful currency of the
People's Republic of China (including any lawful successor to the CNY).
In connection with the issue of any Tranche of Notes, the Dealer or Dealers (if any) named as the
Stabilising Manager(s) (or persons acting on behalf of any Stabilising Manager(s)) in the
applicable Final Terms may over-allot Notes or effect transactions with a view to supporting the
market price of the Notes at a level higher than that which might otherwise prevail. However,
there is no assurance that the Stabilising Manager(s) (or persons acting on behalf of a Stabilising
Manager) will undertake stabilisation action. Any stabilisation action may begin on or after the
date on which adequate public disclosure of the terms of the offer of the relevant Tranche of
Notes is made and, if begun, may be ended at any time, but it must end no later than the earlier
of 30 calendar days after the issue date of the relevant Tranche of Notes and 60 calendar days
after the date of the allotment of the relevant Tranche of Notes. Any stabilisation action or overallotment must be conducted by the relevant Stabilising Manager(s) (or persons acting on behalf
of any Stabilising Manager(s)) in accordance with all applicable laws and rules.
8
TABLE OF CONTENTS
Page
IMPORTANT NOTICES ........................................................................................................................................... 4
AVAILABLE INFORMATION............................................................................................................................... 10
DOCUMENTS INCORPORATED BY REFERENCE............................................................................................ 11
OVERVIEW OF THE PROGRAMME.................................................................................................................... 26
RISK FACTORS ...................................................................................................................................................... 38
DESCRIPTION OF THE COLLATERAL ARRANGEMENTS RELATING TO SECURED W&C
INSTRUMENTS ...................................................................................................................................................... 98
FORM OF THE INSTRUMENTS.......................................................................................................................... 110
FORM OF FINAL TERMS OF THE NOTES........................................................................................................ 116
TERMS AND CONDITIONS OF THE NOTES.................................................................................................... 153
USE OF PROCEEDS OF THE NOTES ................................................................................................................. 195
FORM OF FINAL TERMS OF THE W&C INSTRUMENTS .............................................................................. 196
TERMS AND CONDITIONS OF THE W&C INSTRUMENTS........................................................................... 239
USE OF PROCEEDS OF THE W&C INSTRUMENTS........................................................................................ 303
ANNEX 1 ADDITIONAL TERMS AND CONDITIONS FOR INDEX LINKED INSTRUMENTS................... 304
ANNEX 2 ADDITIONAL TERMS AND CONDITIONS FOR SHARE LINKED INSTRUMENTS .................. 322
ANNEX 3 ADDITIONAL TERMS AND CONDITIONS FOR LOW EXERCISE PRICE WARRANTS ........... 340
ANNEX 4 ADDITIONAL TERMS AND CONDITIONS FOR GDR/ADR LINKED INSTRUMENTS ............. 359
ANNEX 5 ADDITIONAL TERMS AND CONDITIONS FOR FX LINKED INSTRUMENTS .......................... 364
ANNEX 6 ADDITIONAL TERMS AND CONDITIONS FOR COMMODITY LINKED INSTRUMENTS ...... 373
ANNEX 7 ADDITIONAL TERMS AND CONDITIONS FOR FUND LINKED INSTRUMENTS .................... 382
ANNEX 8 ADDITIONAL TERMS AND CONDITIONS FOR INFLATION LINKED INSTRUMENTS .......... 403
ANNEX 9A ADDITIONAL TERMS AND CONDITIONS FOR CREDIT LINKED NOTES............................. 407
ANNEX 9B ADDITIONAL TERMS AND CONDITIONS FOR CREDIT LINKED W&C INSTRUMENTS.... 477
ANNEX 10 ADDITIONAL TERMS AND CONDITIONS FOR PHYSICAL DELIVERY NOTES.................... 546
ANNEX 11 ADDITIONAL TERMS AND CONDITIONS FOR RULE 144A WARRANTS .............................. 552
ANNEX 12 ADDITIONAL TERMS AND CONDITIONS FOR SAUDI SHARE LINKED WARRANTS ........ 562
ANNEX 13 ADDITIONAL TERMS AND CONDITIONS FOR SECURED STATIC/FLOATING W&C
INSTRUMENTS .................................................................................................................................................... 568
ANNEX 14 ADDITIONAL TERMS AND CONDITIONS FOR SECURED FULLY FLOATING W&C
INSTRUMENTS .................................................................................................................................................... 604
ANNEX 15 ADDITIONAL TERMS AND CONDITIONS FOR SWISS COSIS ................................................. 630
COLLATERAL-SECURED INSTRUMENTS (COSIs) ........................................................................................ 631
FORM OF NON-COSI GUARANTEE.................................................................................................................. 635
FORM OF SWISS COSI GUARANTEE ............................................................................................................... 638
BOOK-ENTRY CLEARING SYSTEMS............................................................................................................... 640
NOTICE TO PURCHASERS AND HOLDERS OF INSTRUMENTS AND TRANSFER RESTRICTIONS ...... 645
BANK OF AMERICA CORPORATION............................................................................................................... 659
SELECTED FINANCIAL DATA OF BANK OF AMERICA CORPORATION.................................................. 662
MERRILL LYNCH B.V......................................................................................................................................... 664
SELECTED FINANCIAL DATA OF MERRILL LYNCH B.V............................................................................ 666
MERRILL LYNCH INTERNATIONAL & CO. C.V. ........................................................................................... 669
SELECTED FINANCIAL DATA OF MERRILL LYNCH INTERNATIONAL & CO. C.V. .............................. 671
ERISA MATTERS ................................................................................................................................................. 673
TAXATION............................................................................................................................................................ 675
OFFERING AND SALE ........................................................................................................................................ 697
GENERAL INFORMATION ................................................................................................................................. 725
9
Available Information
AVAILABLE INFORMATION
Other than with respect to Secured W&C Instruments, BAC will provide, without charge, to each
person to whom a copy of this Offering Circular has been delivered, upon the oral or written request of
such person, a copy of any or all of the documents relating to BAC incorporated herein by reference.
Written requests for such documents should be directed to: Bank of America Corporation, Bank of
America Corporate Center, 100 North Tryon Street, Charlotte, North Carolina 28255-0065, Attention:
Fixed Income Investor Relations, or fixedincomeir@bankofamerica.com. Telephone requests may be
directed to either +1-866-607-1234 (toll free) or +1-212-449-6795. BAC's filings with the SEC are
available through (1) the SEC's website at www.sec.gov, or the SEC's Public Reference Room, 100 F
Street, N.E., Room 1580, Washington, D.C. 20549, and (2) BAC's website at
www.bankofamerica.com. In addition, all documents incorporated herein by reference will be available
for viewing on the website of the Luxembourg Stock Exchange (www.bourse.lu) or at the specified
offices of the Principal Paying Agent and the Principal Instrument Agent in London. References to web
addresses in this Offering Circular are included as inactive textual references only. Except as
specifically incorporated by reference into this Offering Circular, information on these websites is not
part of this Offering Circular.
10
Documents Incorporated by Reference
DOCUMENTS INCORPORATED BY REFERENCE
The following documents, which have previously been published and have been filed with the
Luxembourg Stock Exchange, shall be deemed to be incorporated in, and to form part of, this Offering
Circular:
(a)
BAC's Annual Report on Form 10-K for the year ended 31 December 2015 (other than Item 7,
“Management’s Discussion and Analysis of Financial Condition and Results of Operations”
and Item 8, “Financial Statements and Supplementary Data” thereto, which have been
superseded and replaced in their entirety by the BAC 1 November 2016 Form 8-K (defined
below)) (the "BAC 2015 Annual Report");
(b)
BAC's Quarterly Report on Form 10-Q for the quarters ended 31 March 2016 (the "BAC 31
March 2016 Quarterly Report"), 30 June 2016 (the "BAC 30 June 2016 Quarterly
Report") and 30 September 2016 (the "BAC 30 September 2016 Quarterly Report" and,
together with the BAC 31 March 2016 Quarterly Report and the BAC 30 June 2016 Quarterly
Report, the "BAC Forms 10-Q").
(c)
BAC's Current Reports on Form 8-K filed on 19 January 2016 (the "BAC 19 January 2016
Form 8-K"), 29 January 2016 (the "BAC 29 January 2016 Form 8-K"), 12 February 2016
(the "BAC 12 February 2016 Form 8-K"), 10 March 2016 (the "BAC 10 March 2016 Form
8-K"), 18 March 2016 (the "BAC 18 March 2016 Form 8-K"), 13 April 2016 (the "BAC 13
April 2016 Form 8-K"), 14 April 2016 (the "BAC 14 April 2016 Form 8-K"), 25 April 2016
(the "BAC 25 April 2016 Form 8-K"), 27 April 2016 (the "BAC 27 April 2016 Form 8-K"),
23 June 2016 (the "BAC 23 June 2016 Form 8-K"), 29 June 2016 (the "BAC 29 June 2016
Form 8-K"), 18 July 2016 (the "BAC 18 July 2016 Form 8-K"), 1 August 2016 (the "BAC
1 August 2016 Form 8-K"), 15 August 2016 (the "BAC 15 August 2016 Form 8-K"), 17
October 2016 (the "BAC 17 October 2016 Form 8-K"), 1 November 2016 (the "BAC 1
November 2016 Form 8-K") 13 January 2017 (the "BAC First 13 January 2017 Form 8K") and 13 January 2017 (the "BAC Second 13 January 2017 Form 8-K" and, together with
the BAC 19 January 2016 Form 8-K, the BAC 29 January 2016 Form 8-K, the BAC 12
February 2016 Form 8-K, the BAC 10 March 2016 Form 8-K, the BAC 18 March 2016 Form
8-K, the BAC 13 April 2016 Form 8-K, the BAC 14 April 2016 Form 8-K, the BAC 25 April
2016 Form 8-K, the BAC 27 April 2016 Form 8-K, the BAC 23 June 2016 Form 8-K, the
BAC 29 June 2016 Form 8-K, the BAC 18 July 2016 Form 8-K, the BAC 1 August 2016
Form 8-K, the BAC 15 August 2016 Form 8-K, the BAC 17 October 2016 Form 8-K, the
BAC 1 November 2016 Form 8-K, and the BAC First 13 January 2017 Form 8-K, the "BAC
Forms 8-K") (other than, with respect to these reports, information that is furnished but
deemed not to have been filed under the rules of the SEC);
(d)
BAC's Forms 8-A filed on 29 January 2016 (the "BAC 29 January 2016 Form 8-A") and 25
April 2016 (the "BAC 25 April 2016 Form 8-A" and, together with the BAC 29 January 2016
Form 8-A, the "BAC Forms 8-A");
(e)
the 2016 Proxy Statement of BAC pursuant to Section 14(a) of the U.S. Securities Exchange
Act of 1934, as amended, dated 17 March 2016 (the "BAC 2016 Proxy");
(f)
MLBV's audited financial statements as at and for the year ended 31 December 2014 together
with the auditor's report dated 28 April 2015 thereon (the "MLBV 2014 Accounts") and as at
and for the year ended 31 December 2015 together with the auditor's report dated 26 April
2016 thereon (the "MLBV 2015 Accounts");
(g)
MLBV's unaudited interim financial statements for the six months ended 30 June 2016 (the
"MLBV Interim Financial Statements");
(h)
MLICo.'s audited financial statements as at and for the year ended 31 December 2014 together
with the auditor's report dated 24 April 2015 thereon (the "MLICo. 2014 Accounts") and as at
and for the year ended 31 December 2015 together with the auditors report dated 19 April
2016 thereon (the "MLICo. 2015 Accounts");
(i)
MLICo.'s unaudited interim financial statements for the six months ended 30 June 2016 (the
"MLICo. Interim Financial Statements")
11
Documents Incorporated by Reference
(j)
for the purpose of any issue of Notes by MLBV under the Programme which are to be
consolidated and form a single series with an existing tranche or series of Notes issued on or
after 15 September 2009 and prior to 22 June 2010 or for the purpose of any other Series of
Notes in respect of which the applicable Final Terms provide that the 2009 Note Conditions
apply, the form of final terms of the Notes (the "2009 Note Final Terms") on pages 74 to 112
of the base prospectus of Merrill Lynch S.A. ("MLSA") and MLICo. dated 15 September
2009 (the "2009 Base Prospectus"), the terms and conditions of the Notes on pages 113 to
140 of the 2009 Base Prospectus (the "2009 Note Conditions"), the annexes on pages 227 to
347 of the 2009 Base Prospectus (the "2009 Annexes") and the form of guarantee on pages
348 to 349 of the 2009 Base Prospectus (the "2009 Form of Guarantee");
(k)
for the purpose of any issue of W&C Instruments under the Programme which are to be
consolidated and form a single series with an existing tranche or series of W&C Securities1
issued on or after 15 September 2009 and prior to 22 June 2010 or for the purpose of any other
Series of W&C Instruments in respect of which the applicable Final Terms provide that the
2009 W&C Securities Conditions apply, the form of final terms of the W&C Securities (the
"2009 W&C Final Terms") on pages 142 to 179 of the 2009 Base Prospectus, the terms and
conditions of the W&C Securities on pages 180 to 225 of the 2009 Base Prospectus (the "2009
W&C Securities Conditions"), the 2009 Annexes and the 2009 Form of Guarantee;
(l)
for the purpose of any issue of Notes by MLBV under the Programme which are to be
consolidated and form a single series with an existing tranche or series of Notes issued on or
after 22 June 2010 and prior to 22 June 2011 or for the purpose of any other Series of Notes in
respect of which the applicable Final Terms provide that the 2010 Note Conditions apply, the
form of final terms of the Notes (the "2010 Note Final Terms") on pages 74 to 116 of the
base prospectus of MLSA and MLICo. dated 22 June 2010 (the "2010 Base Prospectus"), the
terms and conditions of the Notes on pages 117 to 145 of the 2010 Base Prospectus (the "2010
Note Conditions"), the annexes on pages 238 to 367 of the 2010 Base Prospectus (the "2010
Annexes") and the form of guarantee on pages 376 to 378 of the 2010 Base Prospectus (the
"2010 Form of Guarantee");
(m)
for the purpose of any issue of W&C Instruments under the Programme which are to be
consolidated and form a single series with an existing tranche or series of W&C Securities
issued on or after 22 June 2010 and prior to 22 June 2011 or for the purpose of any other
Series of W&C Instruments in respect of which the applicable Final Terms provide that the
2010 W&C Securities Conditions apply, the form of final terms of the W&C Securities (the
"2010 W&C Final Terms") on pages 147 to 184 of the 2010 Base Prospectus, the terms and
conditions of the W&C Securities on pages 185 to 236 of the 2010 Base Prospectus (the "2010
W&C Securities Conditions"), the 2010 Annexes and the 2010 Form of Guarantee;
(n)
for the purpose of any issue of Share Linked Instruments, FX Linked Instruments, Commodity
Linked Instruments and Fund Linked Instruments under the Programme which are to be
consolidated and form a single series with an existing tranche or series of Share Linked
Securities, FX Linked Securities, Commodity Linked Securities and Fund Linked Securities
issued on or after 11 August 2010 and prior to 22 June 2011, the 2010 W&C Final Terms, the
2010 W&C Securities Conditions, the 2010 Annexes, the 2010 Form of Guarantee and
supplement No. 2 dated 11 August 2010 to the 2010 Base Prospectus (the "11 August 2010
Supplement");
(o)
for the purpose of any issue of Saudi Share Linked Warrants under the Programme which are
to be consolidated and form a single series with an existing tranche or series of Saudi Share
Linked Warrants issued on or after 8 March 2011 and prior to 22 June 2011, the 2010 W&C
Securities Conditions, the 2010 Annexes, and supplement No. 8 dated 8 March 2011 to the
2010 Base Prospectus (the "8 March 2011 Saudi Share Linked Warrants Supplement")
containing the form of final terms for Saudi Share Linked Warrants;
1
Instruments issued under the Programme prior to 12 November 2014 were referred to in the respective Base Prospectus or Offering
Circular as "Securities", W&C Instruments were referred to as "W&C Securities" and each individual product was referred to as a
"Security"/"W&C Security" (Index Linked Securities/W&C Securities, Share Linked Securities/W&C Securities etc.).
12
Documents Incorporated by Reference
(p)
for the purpose of any issue of Finnish W&C Instruments under the Programme which are to
be consolidated and form a single series with an existing tranche or series of Finnish W&C
Securities issued on or after 23 March 2011 and prior to 22 June 2011, the 2010 W&C Final
Terms, the 2010 W&C Securities Conditions, the 2010 Annexes and supplement No. 9 dated
23 March 2011 to the 2010 Base Prospectus (the "23 March 2011 Finnish W&C Securities
Supplement") containing the form of guarantee for such Finnish W&C Securities;
(q)
for the purpose of any issue of Notes by MLBV under the Programme which are to be
consolidated and form a single series with an existing tranche or series of Notes issued on or
after 22 June 2011 and prior to 24 May 2012 or for the purpose of any other Series of Notes in
respect of which the applicable Final Terms provide that the 2011 Note Conditions apply, the
form of final terms of the Notes (the "2011 Note Final Terms") on pages 92 to 123 of the
base prospectus of MLSA and MLICo. dated 22 June 2011 (the "2011 Base Prospectus"), the
terms and conditions of the Notes on pages 124 to 160 of the 2011 Base Prospectus (the "2011
Note Conditions"), the annexes on pages 261 to 457 of the 2011 Base Prospectus (the "2011
Annexes") and the form of guarantee on pages 458 to 460 of the 2011 Base Prospectus (the
"2011 Form of Guarantee");
(r)
for the purpose of any issue of W&C Instruments under the Programme which are to be
consolidated and form a single series with an existing tranche or series of W&C Securities
issued on or after 22 June 2011 and prior to 24 May 2012 or for the purpose of any other
Series of W&C Instruments in respect of which the applicable Final Terms provide that the
2011 W&C Securities Conditions apply, the form of final terms of the W&C Securities (the
"2011 W&C Final Terms") on pages 162 to 200 of the 2011 Base Prospectus, the terms and
conditions of the W&C Securities on pages 201 to 259 of the 2011 Base Prospectus (the "2011
W&C Securities Conditions"), the 2011 Annexes and the 2011 Form of Guarantee;
(s)
for the purpose of any issue of Notes by MLBV under the Programme which are to be
consolidated and form a single series with an existing tranche or series of Notes issued on or
after 24 May 2012 and prior to 9 January 2013 or for the purpose of any other Series of Notes
in respect of which the applicable Final Terms provide that the 2012 Note Conditions apply,
the form of final terms of the Notes (the "2012 Note Final Terms") on pages 105 to 139 of
the base prospectus of MLSA and MLICo. dated 24 May 2012 (the "2012 Base Prospectus"),
the terms and conditions of the Notes on pages 140 to 176 of the 2012 Base Prospectus (the
"2012 Note Conditions"), the annexes on pages 284 to 489 of the 2012 Base Prospectus (the
"2012 Annexes") and the form of guarantee on pages 494 to 496 of the 2012 Base Prospectus
(the "2012 Form of Guarantee");
(t)
for the purpose of any issue of W&C Instruments under the Programme which are to be
consolidated and form a single series with an existing tranche or series of W&C Securities
issued on or after 24 May 2012 and prior to 9 January 2013 or for the purpose of any other
Series of W&C Instruments in respect of which the applicable Final Terms provide that the
2012 W&C Securities Conditions apply, the form of final terms of the W&C Securities (the
"2012 W&C Final Terms") on pages 178 to 218 of the 2012 Base Prospectus, the terms and
conditions of the W&C Securities on pages 219 to 282 of the 2012 Base Prospectus (the "2012
W&C Securities Conditions"), the 2012 Annexes and the 2012 Form of Guarantee;
(u)
for the purpose of any issue of Notes by MLBV under the Programme which are to be
consolidated and form a single series with an existing tranche or series of Notes issued on or
after 9 January 2013 and prior to 15 November 2013 or for the purpose of any other Series of
Notes in respect of which the applicable Final Terms provide that the January 2013 Note
Conditions apply, the form of final terms of the Notes (the "January 2013 Note Final
Terms") on pages 76 to 111 of the offering circular of MLBV and MLICo. dated 9 January
2013 (the "January 2013 Offering Circular"), the terms and conditions of the Notes on
pages 112 to 153 of the January 2013 Offering Circular (the "January 2013 Note
Conditions"), the annexes on pages 263 to 492 of the January 2013 Offering Circular (the
"January 2013 Annexes") and the form of non-COSI guarantee on pages 497 to 499 of the
January 2013 Offering Circular (the "January 2013 Form of Non-COSI Guarantee");
(v)
for the purpose of any issue of W&C Instruments under the Programme which are to be
consolidated and form a single series with an existing tranche or series of W&C Securities
13
Documents Incorporated by Reference
issued on or after 9 January 2013 and prior to 15 November 2013 or for the purpose of any
other Series of W&C Instruments in respect of which the applicable Final Terms provide that
the January 2013 W&C Securities Conditions apply, the form of final terms of the W&C
Securities on pages 155 to 195 of the January 2013 Offering Circular (the "January 2013
W&C Final Terms"), the terms and conditions of the W&C Securities on pages 196 to 261 of
the January 2013 Offering Circular (the "January 2013 W&C Securities Conditions"), the
January 2013 Annexes and the January 2013 Form of Non-COSI Guarantee;
(w)
for the purpose of any issue of Notes under the Programme which are to be consolidated and
form a single series with an existing tranche or series of Notes issued on or after 15 November
2013 and prior to 12 November 2014 or for the purpose of any other Series of Notes in respect
of which the applicable Final Terms provide that the November 2013 Note Conditions apply,
the form of final terms of the Notes (the "November 2013 Note Final Terms") on pages 82 to
117 of the offering circular of BAC, MLBV, Merrill Lynch Capital Markets AG
("MLCMAG") and MLICo. dated 15 November 2013 (the "November 2013 Offering
Circular"), the terms and conditions of the Notes on pages 118 to 156 of the November 2013
Offering Circular (the "November 2013 Note Conditions"), the annexes on pages 260 to 488
of the November 2013 Offering Circular (the "November 2013 Annexes") and the form of
non-COSI guarantee on pages 493 to 495 of the November 2013 Offering Circular (the
"November 2013 Form of Non-COSI Guarantee");
(x)
for the purpose of any issue of W&C Instruments under the Programme which are to be
consolidated and form a single series with an existing tranche or series of W&C Securities
issued on or after 15 November 2013 and prior to 12 November 2014 or for the purpose of any
other Series of W&C Instruments in respect of which the applicable Final Terms provide that
the November 2013 W&C Securities Conditions apply, the form of final terms of the W&C
Securities (the "November 2013 W&C Final Terms") on pages 158 to 196 of the November
2013 Offering Circular, the terms and conditions of the W&C Securities on pages 197 to 258
of the November 2013 Offering Circular (the "November 2013 W&C Securities
Conditions"), the November 2013 Annexes and the November 2013 Form of Non-COSI
Guarantee; and
(y)
for the purpose of any issue of Notes under the Programme which are to be consolidated and
form a single series with an existing tranche or series of Notes issued on or after 12 November
2014 and prior to 11 November 2015 or for the purpose of any other Series of Notes in respect
of which the applicable Final Terms provide that the November 2014 Note Conditions apply,
the form of final terms of the Notes (the "November 2014 Note Final Terms") on pages 85 to
121 of the offering circular of BAC, MLBV, MLICo. and MLCMAG dated 12 November
2014 (the "November 2014 Offering Circular"), the terms and conditions of the Notes on
pages 122 to 162 of the November 2014 Offering Circular (the "November 2014 Note
Conditions"), the annexes on pages 268 to 519 of the November 2014 Offering Circular (the
"November 2014 Annexes") and the form of non-COSI guarantee on pages 524 to 526 of the
November 2014 Offering Circular (the "November 2014 Form of Non-COSI Guarantee");
(z)
for the purpose of any issue of W&C Instruments under the Programme which are to be
consolidated and form a single series with an existing tranche or series of W&C Instruments
issued on or after 12 November 2014 and prior to 11 November 2015 or for the purpose of any
other Series of W&C Instruments in respect of which the applicable Final Terms provide that
the November 2014 W&C Instruments Conditions apply, the form of final terms of the W&C
Instruments (the "November 2014 W&C Final Terms") on pages 164 to 203 of the
November 2014 Offering Circular, the terms and conditions of the W&C Instruments on pages
204 to 266 of the November 2014 Offering Circular (the "November 2014 W&C
Instruments Conditions"), the November 2014 Annexes and the November 2014 Form of
Non-COSI Guarantee;
(aa)
for the purpose of any issue of Notes under the Programme which are to be consolidated and
form a single series with an existing tranche or series of Notes issued on or after 11 November
2015 and prior to 10 May 2016 or for the purpose of any other Series of Notes in respect of
which the applicable Final Terms provide that the November 2015 Note Conditions apply, the
form of final terms of the Notes (the "November 2015 Note Final Terms") on pages 108 to
144 of the offering circular of BAC, MLBV and MLICo. dated 11 November 2015 (the
14
Documents Incorporated by Reference
"November 2015 Offering Circular"), the terms and conditions of the Notes on pages 145 to
185 of the November 2015 Offering Circular (the "November 2015 Note Conditions"), the
annexes on pages 293 to 609 of the November 2015 Offering Circular (the "November 2015
Annexes") and the form of non-COSI guarantee on pages 614 to 616 of the November 2015
Offering Circular (the "November 2015 Form of Non-COSI Guarantee");
(bb)
for the purpose of any issue of W&C Instruments under the Programme which are to be
consolidated and form a single series with an existing tranche or series of W&C Instruments
issued on or after 11 November 2015 and prior to 10 May 2016 or for the purpose of any other
Series of W&C Instruments in respect of which the applicable Final Terms provide that the
November 2015 W&C Instruments Conditions apply, the form of final terms of the W&C
Instruments (the "November 2015 W&C Final Terms") on pages 187 to 227 of the
November 2015 Offering Circular, the terms and conditions of the W&C Instruments on pages
228 to 291 of the November 2015 Offering Circular (the "November 2015 W&C
Instruments Conditions"), the November 2015 Annexes and the November 2015 Form of
Non-COSI Guarantee;
(cc)
for the purpose of any issue of Notes under the Programme which are to be consolidated and
form a single series with an existing tranche or series of Notes issued on or after 10 May 2016,
and prior to the date of this Offering Circular or for the purpose of any other Series of Notes in
respect of which the applicable Final Terms provide that the May 2016 Note Conditions apply,
the form of final terms of the Notes (the "May 2016 Note Final Terms") on pages 109 to 145
of the offering circular of BAC, MLBV and MLICo. dated 10 May 2016 (the "May 2016
Offering Circular"), the terms and conditions of the Notes on pages 146 to 186 of the May
2016 Offering Circular (the "May 2016 Note Conditions"), the annexes on pages 296 to 622
of the May 2016 Offering Circular (the "May 2016 Annexes") and the form of non-COSI
guarantee on pages 627 to 629 of the May 2016 Offering Circular (the "May 2016 Form of
Non-COSI Guarantee");
(dd)
for the purpose of any issue of W&C Instruments under the Programme which are to be
consolidated and form a single series with an existing tranche or series of W&C Instruments
issued on or after 10 May 2016 and prior to the date of this Offering Circular or for the
purpose of any other Series of W&C Instruments in respect of which the applicable Final
Terms provide that the May 2016 W&C Instruments Conditions apply, the form of final terms
of the W&C Instruments (the "May 2016 W&C Final Terms") on pages 188 to 230 of the
May 2016 Offering Circular, the terms and conditions of the W&C Instruments on pages 231
to 264 of the May 2016 Offering Circular (the "May 2016 W&C Instruments Conditions"),
the May 2016 Annexes and the May 2016 Form of Non-COSI Guarantee; and
(ee)
the Framework Agreement for Collateral-Secured Instruments (COSI) (the "Framework
Agreement") dated 24 May 2012, between SIX Swiss Exchange, SIX SIS AG ("SIS"),
MLICo. and MLCMAG in its capacity as collateral provider (the "Swiss COSI Collateral
Provider") pursuant to which the Swiss COSI Collateral Provider undertakes to secure the
Current Value of the Swiss W&C Instruments for which "Collateralisation" is specified to be
applicable in the applicable Final Terms.
To the extent that this Offering Circular is used in connection with an issue or offering of Instruments
under the Programme in circumstances where the Prospectus Directive does not apply and where the
Instruments are not to be listed on SIX Swiss Exchange, the following documents, which may be
produced or issued from time to time after the date hereof, shall upon publication be deemed to form
part of this Offering Circular:
(i)
BAC's annual report on Form 10-K and proxy statements of BAC filed with the SEC after the
date of this Offering Circular; and
(ii)
any other reports filed by BAC with the SEC pursuant to Sections 13(a), 13(c), 14 or 15(d) of
the Exchange Act (other than, with respect to these reports, information that is furnished but
deemed not to have been filed under the rules of the SEC) and the rules and regulations
thereunder subsequent to the date of the financial statements included in the BAC 2015
Annual Report including, without limitation, any quarterly report on Form 10-Q not
incorporated by reference into this Offering Circular.
15
Documents Incorporated by Reference
16
Documents Incorporated by Reference
Documents Incorporated by Reference Cross-Reference List
Page Number
BAC 2015 Annual Report
Part I
Item 1. Business
Item 1A. Risk Factors
Item 1B. Unresolved Staff Comments
Item 2. Properties
Item 3. Legal Proceedings
Item 4. Mine Safety Disclosures
Pages 2 to 5
Pages 6 to 18
Page 18
Page 18
Page 18
Page 18
Part II
Item 5. Market for Registrant's Common Equity, Related Stockholder Matters
and Issuer Purchases of Equity Securities
Item 6. Selected Financial Data
Item 7A. Quantitative and Qualitative Disclosures about Market Risk
Item 9. Changes in and Disagreements with Accountants on Accounting and
Financial Disclosure
Item 9A. Controls and Procedures
Item 9B. Other Information
Part III
Item 10. Directors, Executive Officers and Corporate Governance
Item 11. Executive Compensation
Item 12. Security Ownership of Certain Beneficial Owners and Management
and Related Stockholder Matters
Item 13. Certain Relationships and Related Transactions, and Director
Independence
Item 14. Principal Accounting Fees and Services
Part IV
Item 15. Exhibits, Financial Statement Schedules (including all listed)
Signatures
Exhibit 12. Ratio of Earnings to Fixed Charges and Ratio of Earnings to
Fixed Charges and Preferred Dividends
Exhibit 21. Direct and Indirect Subsidiaries of Bank of America Corporation
As of December 31, 2015
Exhibit 24. Power of Attorney
Page 19
Page 19
Page 129
Page 252
Page 252
Page 252
Page 253
Page 253
Page 254
Page 254
Page 254
Page 255
Pages 256 to 257
Page 576*
Pages 577* to 578*
Pages 580* to 581*
BAC 31 March 2016 Quarterly Report
Part I. Financial Statements
Item 1. Financial Statements
 Consolidated Statement of Income
 Consolidated Statement of Comprehensive Income
 Consolidated Balance Sheet
 Consolidated Statement of Changes in Shareholders' Equity
 Consolidated Statement of Cash Flows
 Notes to Consolidated Financial Statements
Item 2. Management's Discussion and Analysis of Financial Condition and
Results of Operations
Item 3. Quantitative and Qualitative Disclosures About Market Risk
Item 4. Controls and Procedures
Part II. Other Information
Item 1. Legal Proceedings
Item 1A. Risk Factors
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
Item 6. Exhibits
Signature
17
Page 110
Page 111
Pages 112 to 113
Page 114
Page 115
Pages 116 to 198
Pages 3 to 108
Page 109
Page 109
Page 199
Page 199
Page 199
Page 200
Page 201
Documents Incorporated by Reference
Documents Incorporated by Reference Cross-Reference List
Index to Exhibits
Exhibit 3(a). Amended and Restated Certificate of Incorporation of the
Corporation, as in effect on May 2, 2016
Exhibit 12. Ratio of Earnings to Fixed Charges
Ratio of Earnings to Fixed Charges and Preferred Dividends
BAC 30 June 2016 Quarterly Report
Part I. Financial Statements
Item 1. Financial Statements
 Consolidated Statement of Income
 Consolidated Statement of Comprehensive Income
 Consolidated Balance Sheet
 Consolidated Statement of Changes in Shareholders' Equity
 Consolidated Statement of Cash Flows
 Notes to Consolidated Financial Statements
Item 2. Management's Discussion and Analysis of Financial Condition and
Results of Operations
Item 3. Quantitative and Qualitative Disclosures About Market Risk
Item 4. Controls and Procedures
Part II. Other Information
Item 1. Legal Proceedings
Item 1A. Risk Factors
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
Item 6. Exhibits
Signature
Index to Exhibits
Exhibit 3(a). Amended and Restated Certificate of Incorporation of the
Corporation, as in effect on May 2, 2016 and incorporated by reference to
Exhibit 3(a) of the BAC 31 March 2016 Quarterly Report
Exhibit 12. Ratio of Earnings to Fixed Charges
Ratio of Earnings to Fixed Charges and Preferred Dividends
BAC 30 September 2016 Quarterly Report
Part I. Financial Statements
Item 1. Financial Statements
 Consolidated Statement of Income
 Consolidated Statement of Comprehensive Income
 Consolidated Balance Sheet
 Consolidated Statement of Changes in Shareholders' Equity
 Consolidated Statement of Cash Flows
 Notes to Consolidated Financial Statements
Item 2. Management's Discussion and Analysis of Financial Condition and
Results of Operations
Item 3. Quantitative and Qualitative Disclosures About Market Risk
Item 4. Controls and Procedures
Part II. Other Information
Item 1. Legal Proceedings
Item 1A. Risk Factors
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
Item 6. Exhibits
Signature
Index to Exhibits
Exhibit 12. Ratio of Earnings to Fixed Charges
Ratio of Earnings to Fixed Charges and Preferred Dividends
18
Page Number
Page 202
Pages 204* to 518*
Page 550*
Page 114
Page 115
Page 116
Page 118
Page 119
Pages 120 to 211
Pages 3 to 112
Page 113
Page 113
Page 215
Page 215
Page 216
Page 217
Page 218
Page 219
Pages 204* to 518*
Page 550*
Page 94
Page 95
Pages 96 to 97
Page 98
Page 99
Pages 100 to 187
Pages 3 to 93
Page 93
Page 93
Page 188
Page 188
Page 188
Page 189
Page 190
Page 191
Page 193*
Documents Incorporated by Reference
Documents Incorporated by Reference Cross-Reference List
BAC 16 February 2007 Form 8-K
Exhibit 99.2. Replacement Capital Covenant, dated as of February 16,
2007, with respect to the Fixed to Floating Rate HITS
BAC 19 January 2016 Form 8-K
Item 2.02. Results of Operations and Financial Condition
Item 9.01. Financial Statements and Exhibits
Signatures
Index to Exhibits
Exhibit 99.1. The Press Release
BAC 29 January 2016 Form 8-K
Item 3.03. Material Modification to Rights of Security Holders
Item 5.03. Amendments to Articles of Incorporation or Bylaws; Change in
Fiscal Year
Item 8.01. Other Events
Item 9.01. Financial Statements and Exhibits
Signatures
Index to Exhibits
Exhibit 1.1. Underwriting Agreement, dated 21 January 2016, with respect
to the offering of Depositary Shares, each representing a 1/1,000th interest
in a share of Series CC Preferred Stock
Exhibit 3.1. Certificate of Designations for the Series CC Preferred Stock,
incorporated by reference to Exhibit 3.1 of the Corporation’s Registration
Statement on Form 8-A, filed on 29 January 2016
Exhibit 4.1. Deposit Agreement related to the Depositary Shares, dated 28
January 2016, among the Corporation, Computershare Inc., Computershare
Trust Company, N.A. and the Holders from time to time of the Depositary
Receipts, incorporated by reference to Exhibit 4.1 of the Corporation’s
Registration Statement on Form 8-A, filed on 29 January 2016
Exhibit 4.2. Form of Depositary Receipt for the Depositary Shares,
incorporated by reference to Exhibit 4.2 of the Corporation’s Registration
Statement on Form 8-A, filed on 29 January 2016
Exhibit 5.1. Opinion of McGuireWoods LLP, regarding legality of the Series
CC Preferred Stock and the Depositary Shares
BAC 12 February 2016 Form 8-K
Item 8.01. Other Events
Signatures
Page Number
Pages 701* to 719*
Page 2*
Page 2*
Page 3*
Page 4*
Pages 5* to 23*
Page 2
Page 2
Page 2
Page 2
Page 3
Page 4
Pages 6* to 37*
Pages 38* to 39*
Page 2
Page 3
BAC 10 March 2016 Form 8-K
Item 3.03. Material Modification to Rights of Security Holders
Item 5.03. Amendments to Articles of Incorporation or Bylaws; Change in
Fiscal Year
Item 8.01. Other Events
Item 9.01. Financial Statements and Exhibits
Signatures
Index to Exhibits
Exhibit 1.1. Underwriting Agreement, dated 7 March 2016, with respect to
the offering of Depositary Shares, each representing a 1/25th interest in a
share of Series DD Preferred Stock
Exhibit 3.1. Certificate of Designations for the Series DD Preferred Stock
Exhibit 4.1. Deposit Agreement related to the Depositary Shares, dated 9
March 2016, among the Corporation, Computershare Inc., Computershare
Trust Company, N.A. and the Holders from time to time of the Depositary
Receipts
Exhibit 4.2. Form of Depositary Receipt for the Depositary Shares, included
in Exhibit 4.1
19
Page 2
Page 2
Page 2
Page 2
Page 3
Page 4
Pages 6* to 36*
Pages 37* to 47*
Pages 48* to 77*
Pages 74* to 77*
Documents Incorporated by Reference
Documents Incorporated by Reference Cross-Reference List
Exhibit 5.1. Opinion of McGuireWoods LLP, regarding legality of the Series
DD Preferred Stock and the Depositary Shares
Page Number
Pages 78* to 80*
BAC 18 March 2016 Form 8-K
Item 8.01. Other Events
Signatures
Page 2
Page 3
BAC 13 April 2016 Form 8-K
Item 8.01. Other Events
Signatures
Page 2
Page 3
BAC 14 April 2016 Form 8-K
Item 2.02. Results of Operations and Financial Condition
Item 9.01. Financial Statements and Exhibits
Signatures
Index to Exhibits
Exhibit 99.1. The Press Release
BAC 25 April 2016 Form 8-K
Item 3.03. Material Modification to Rights of Security Holders
Item 5.03. Amendments to Articles of Incorporation or Bylaws; Change in
Fiscal Year
Item 8.01. Other Events
Item 9.01. Financial Statements and Exhibits
Signatures
Index to Exhibits
Exhibit 1.1 Underwriting Agreement, dated 18 April 2016, with respect to
the offering of Depository Shares, each representing a 1/25th interest in a
share of Series EE Preferred Stock
Exhibit 3.1 Certificate of Designations for the Series EE Preferred Stock,
incorporated by reference to Exhibit 3.1 of the Registrant’s Form 8-A, filed
on 25 April, 2016
Exhibit 4.1. Deposit Agreement related to the Depositary Shares, dated 22
April 2016, among the Registrant, Computershare Inc., Computershare Trust
Company, N.A. and the Holders from time to time of the Depositary Receipts,
incorporated by reference to Exhibit 4.1 of the Registrant’s Form 8-A, filed
on 25 April 2016
Exhibit 4.2. Form of Depositary Receipt for the Depositary Shares, included
in Exhibit 4.1
Exhibit 5.1. Opinion of McGuireWoods LLP, regarding legality of the Series
EE Preferred Stock and the Depositary Shares
BAC 27 April 2016 Form 8-K
Item 5.07. Submission of Matters to a Vote of Security Holders
Signatures
BAC 23 June 2016 Form 8-K
Item 5.02. Departure of Directors or Certain Officers; Election of
Directors; Appointment of Certain Officers; Compensatory Arrangements of
Certain Officers
Item 9.01. Financial Statements and Exhibits
Signatures
Index to Exhibits
Exhibit 99.1. News Release dated June 23, 2016
BAC 29 June 2016 Form 8-K
Item 8.01. Other Events.
Item 9.01. Financial Statements and Exhibits.
Page 2*
Page 2*
Page 3*
Page 4*
Pages 5* to 22*
Page 2
Page 2
Page 2
Page 2
Page 3
Page 4
Pages 5* to 35*
Pages 36* to 38*
Page 2*
Page 3*
Page 2
Page 2
Page 3
Page 4
Pages 5 to 6
Page 2
Page 2
20
Documents Incorporated by Reference
Documents Incorporated by Reference Cross-Reference List
Signatures
Index to Exhibits
Exhibit 99.1. News Release dated 29 June 2016
Page Number
Page 3
Page 4
Pages 5 to 6
BAC 18 July 2016 Form 8-K
Item 2.02. Results of Operations and Financial Condition.
Item 9.01. Financial Statements and Exhibits.
Signatures
Index to Exhibits
Exhibit 99.1. The Press Release
BAC 1 August 2016 Form 8-K
Item 8.01. Other Events.
Item 9.01. Financial Statements and Exhibits.
Signatures
Index to Exhibits.
Exhibit 23.
Exhibit 99.1. Part II, Item 7. Management's Discussion and Analysis of
Financial Condition and Results of Operations
Exhibit 99.2. Part II, Item 8, Financial Statements and Supplementary
Data
 Report of Management on Internal Control Over Financial
Reporting
 Report of Independent Registered Public Accounting Firm
(Audit Report)
 Consolidated Statement of Income
 Consolidated Statement of Comprehensive Income
 Consolidated Balance Sheet
 Consolidated Statement of Changes in Shareholders' Equity
 Consolidated Statement of Cash Flows
 Notes to Consolidated Financial Statements
BAC 15 August 2016 Form 8-K
Item 8.01. Other Events.
Item 9.01(d). Financial Statements and Exhibits.
Signatures
Index to Exhibits
Exhibit 99.1. Replacement Capital Covenant, dated as of February 16,
2007, of Bank of America Corporation, incorporated herein by reference to
Exhibit 99.2 of the Corporation's Current Report on Form 8-K filed
February 16, 2007
BAC 17 October 2016 Form 8-K
Item 2.02. Results of Operations and Financial Condition.
Item 9.01. Financial Statements and Exhibits
Signatures
Index to Exhibits
Exhibit 99.1. The Press Release dated 17 October 2016
BAC 1 November 2016 Form 8-K
Item 8.01. Other Events
Item 9.01. Financial Statements and Exhibits
Page 2
Page 2
Page 3
Page 4
Pages 5 to 22
Page 2*
Page 2*
Page 3*
Page 4*
Page 5*
Pages 6* to 115*
Pages 116* to 237*
Page 117*
Page 118*
Page 119*
Page 120*
Pages 121* to 122*
Page 123*
Page 124*
Pages 124* to 237*
Page 2
Page 2
Page 3
Page 4
Page 4
Page 2
Page 2
Page 3
Page 4
Pages 5 to 22
Page 2*
Page 2*
21
Documents Incorporated by Reference
Documents Incorporated by Reference Cross-Reference List
Signatures
Index to Exhibits.
Exhibit 23.
Exhibit 99.1. Part II, Item 7. Management's Discussion and Analysis of
Financial Condition and Results of Operations
Exhibit 99.2. Part II, Item 8, Financial Statements and Supplementary Data
 Report of Management on Internal Control Over Financial
Reporting
 Report of Independent Registered Public Accounting Firm (Audit
Report)
 Consolidated Statement of Income
 Consolidated Statement of Comprehensive Income
 Consolidated Balance Sheet
 Consolidated Statement of Changes in Shareholders' Equity
 Consolidated Statement of Cash Flows
 Notes to Consolidated Financial Statements
BAC First 13 January 2017 Form 8-K
Item 2.02. Results of Operations and Financial Condition.
Item 9.01. Financial Statements and Exhibits.
Signatures
Index to Exhibits
Exhibit 99.1. The Press Release
BAC Second 13 January 2017 Form 8-K
Item 9.01. Financial Statements and Exhibits.
Signatures
Index to Exhibits
Exhibit 1.1. Distribution Agreement dated January 13, 2017 between Bank of
America Corporation and Merrill Lynch, Pierce, Fenner & Smith
Incorporated with respect to the offering of the Medium-Term Notes, Series
M
Exhibit 4.1. Seventh Supplemental Indenture dated as of January 13, 2017
between Bank of America Corporation and The Bank of New York Mellon
Trust Company, N.A. (successor to The Bank of New York), supplementing
the Indenture dated as of January 1, 1995 for senior debt securities, as
supplemented
Exhibit 4.2. Form of Global Senior Medium-Term Note, Series M
Exhibit 4.3. Form of Master Global Senior Medium-Term Note, Series M
Exhibit 4.4. Form of Global Subordinated Medium-Term Note, Series M
Exhibit 5.1. Opinion of McGuireWoods LLP as to the legality of the Notes
Exhibit 23.1. Consent of McGuireWoods LLP
BAC 29 January 2016 Form 8-A
Item 1. Description of Registrant’s Securities to be Registered
Item 2. Exhibits
Signatures
Index to Exhibits
Exhibit 3.1. Certificate of Designations of the Preferred Stock, dated 29
January 2016
Exhibit 4.1. Deposit Agreement, dated 28 January 2016, among the
Registrant, Computershare Inc., Computershare Trust Company, N.A. and
the Holders from time to time of the Depositary Receipts
Exhibit 4.2. Form of Depositary Receipt for the Depositary Shares (included
22
Page Number
Page 3*
Page 4*
Page 5*
Pages 6* to 113*
Pages 114* to 236*
Page 115*
Page 116*
Page 117*
Page 118*
Pages 119* to 120*
Page 121*
Page 122*
Pages 123* to 236*
Page 2*
Page 2*
Page 3*
Page 4*
Pages 5* to 22*
Page 2
Page 3
Page 4
Pages 5* to 92*
Pages 93* to 102*
Pages 103* to 130*
Pages 131* to 145*
Pages 146* to 172*
Pages 173* to 176*
Contained in Exhibit
5.1
Page 2
Page 2
Page 3
Page 4
Pages 5* to 14
Pages 15* to 44*
Pages 41* to 44*
Documents Incorporated by Reference
Documents Incorporated by Reference Cross-Reference List
Page Number
in Exhibit 4.1)
BAC 25 April 2016 Form 8-A
Item 1. Description of Registrant’s Securities to be Registered
Item 2. Exhibits
Signatures
Index to Exhibits
Exhibit 3.1. Certificate of Designations of the Preferred Stock, dated 25
April 2016
Exhibit 4.1. Deposit Agreement, dated 22 April 2016, among the Registrant,
Computershare Inc., Computershare Trust Company, N.A. and the Holders
from time to time of the Depositary Receipts
Exhibit 4.2. Form of Depositary Receipt for the Depositary Shares (included
in Exhibit 4.1)
BAC 2016 Proxy
Proposal 1: Electing Directors
 Identifying and Evaluating Director Candidates
 Our Director Nominees
Corporate Governance
 Our Board of Directors
 Director Independence
 Board Leadership
 Board Evaluation
 Director Education
 Stockholder Engagement
 Governance Enhancements Informed by Stockholder Input
 Communication with Our Board
 ESG Initiatives: Focus on Responsible, Sustainable Growth
 CEO and Senior Management Succession Planning
 Board Oversight of Risk
 Compensation Governance and Risk Management
 Board Meetings, Committee Membership and Attendance
 Additional Information
 Related Person and Certain Other Transactions
 Stock Ownership of Directors, Executive Officers and Certain
Beneficial Owners
 Section 16(a) Beneficial Ownership Reporting Compliance
 Director Compensation
Proposal 2: Approving Our Executive Compensation (An Advisory, NonBinding "Say on Pay" Resolution)
Compensation Discussion and Analysis
 Executive Summary
 2015 Company & Line of Business Performance
 Executive Compensation Program Features
 Compensation Decisions and Rationale
 Other Compensation Topics
 Compensation and Benefits Committee Report
Executive Compensation
 Summary Compensation Table
 Grants of Plan-Based Awards Table
 Year-End Equity Values and Equity Exercised or Vested Table
 Pension Benefits Table
 Nonqualified Deferred Compensation Table
 Potential Payments Upon Termination or Change in Control
Tables
23
Page 2
Page 2
Page 3
Page 4
Pages 5* to 13*
Pages 14* to 43*
Pages 40* to 43*
Pages 1 to 10
Page 2
Pages 3 to 10
Page 11
Page 11
Pages 11 to 12
Pages 12 to 14
Page 14
Page 14
Page 15
Page 16
Page 16
Page 17
Page 18
Page 18
Pages 19 to 21
Pages 21 to 22
Page 22
Page 23
Pages 24 to 25
Page 25
Page 26
Page 29
Pages 29 to 43
Page 30
Pages 31 to 32
Pages 33 to 36
Pages 36 to 41
Pages 41 to 43
Page 43
Pages 44 to 57
Pages 44 to 46
Pages 47 to 49
Pages 50 to 51
Pages 52 to 53
Pages 54 to 55
Pages 55 to 57
Documents Incorporated by Reference
Documents Incorporated by Reference Cross-Reference List
Proposal 3: Ratifying the Appointment of Our Independent Registered
Public Accounting Firm for 2016
 Audit Committee Pre-Approval Policies and Procedures
 Audit Committee Report
Proposal 4: Stockholder Proposal
Voting and Other Information
Appendix A: Reconciliation of GAAP and Non-GAAP Financial Measures
Page Number
Pages 58 to 59
Page 59
Page 59
Pages 60 to 62
Pages 63 to 65
Page 66
MLBV 2014 Accounts
Director's Report
Statement of Comprehensive Income
Statement of Financial Position
Statement of Cash Flows
Statement of Changes in Equity
Notes to the Financial Statements
Other Information
Independent Auditor's Report
Pages 2 to 4
Page 5
Page 6
Page 7
Page 8
Pages 9 to 31
Page 32
Pages 6* to 12*
MLBV 2015 Accounts
Director's Report
Statement of Comprehensive Income
Statement of Financial Position
Statement of Cash Flows
Statement of Changes in Equity
Notes to the Financial Statements
Other Information
Independent Auditor's Report
Pages 2 to 4
Page 5
Page 6
Page 7
Page 8
Pages 9 to33
Page 34
Pages 5 to 13
MLBV Interim Financial Statements
Director's Report
Statement of Comprehensive Income
Statement of Financial Position
Statement of Cash Flows
Statement of Changes in Equity
Notes to the Financial Statements
Other Information
Pages 2 to 4
Page 5
Page 6
Page 7
Page 8
Pages 9 to 34
Page 35
MLICo. 2014 Accounts
General Partner's Annual Report
Independent Auditor's Report to the General Partner
Profit and Loss Account
Balance Sheet
Cash Flow Statement
Notes to the Financial Statements
Pages 1 to 2
Pages 3 to 4
Page 5
Page 6
Page 7
Pages 8 to 28
MLICo. 2015 Accounts
General Partner's Annual Report
Independent Auditor's Report to the General Partner
Profit and Loss Account
Balance Sheet
Notes to the Financial Statements
Pages 1 to 2
Pages 3 to 4
Page 5
Page 6
Pages 7 to 28
MLICo. Interim Financial Statements
General Partner's Report
Pages 1 to 2
Income Statement
Page 3
Statement of Financial Position
Page 4
Notes to the Financial Statements
Pages 5 to 25
___________________________________________________________________________
24
Documents Incorporated by Reference
*
These page numbers are references to the PDF pages included in the relevant report.
Any information not listed in the cross reference list but included in the documents incorporated by
reference is given for information purposes only.
Following publication of this Offering Circular a supplement may be prepared by the Issuers and the
Guarantor. Statements contained in any such supplement (or contained in any document incorporated
by reference therein) shall, to the extent applicable (whether expressly, by implication or otherwise), be
deemed to modify or supersede statements contained in this Offering Circular or in a document which
is incorporated by reference in this Offering Circular. Any statement so modified or superseded shall
not, except as so modified or superseded, constitute a part of this Offering Circular.
Investors in the Instruments shall be deemed to have notice of all information contained in the
documents incorporated by reference into this Offering Circular, as if all such information were
included in this Offering Circular. Investors who have not previously reviewed such information
should do so in connection with their purchase of Instruments. Copies of all such documents
incorporated by reference will be available for inspection without charge at the office of the Principal
Paying Agent in London.
BAC will provide, without charge, to each person (other than holders of Secured W&C Instruments) to
whom a copy of this Offering Circular has been delivered, upon the oral or written request of such
person, a copy of any or all of the documents listed in paragraphs (a) to (c) above. Written requests for
such documents should be directed to: Bank of America Corporation, Bank of America Corporate
Center, 100 North Tryon Street, Charlotte, North Carolina 28255-0065, Attention: Fixed Income
Investor Relations, or fixedincomeir@bankofamerica.com. Telephone requests may be directed to
either +1-866-607-1234 (toll free) or +1-212-449-6795. BAC's filings with the SEC are available
through (1) the SEC's website at www.sec.gov, or the SEC's Public Reference Room, 100 F Street,
N.E., Room 1580, Washington, D.C. 20549, and (2) BAC's website at www.bankofamerica.com. In
addition, all documents incorporated herein by reference will be available for viewing on the website of
the Luxembourg Stock Exchange (www.bourse.lu) or at the specified offices of the Principal Paying
Agent and the Principal Instrument Agent in London. References to web addresses in this Offering
Circular are included as inactive textual references only. Except as specifically incorporated by
reference into this Offering Circular, information on these websites is not part of this Offering Circular.
The Issuers and (if applicable) the Guarantor will, in the event of any significant new factor, material
mistake or inaccuracy relating to information included in this Offering Circular which is capable of
affecting the assessment of any Instruments, prepare a supplement to this Offering Circular or publish a
new offering circular for use in connection with any subsequent issue of Instruments.
25
Overview of the Programme
OVERVIEW OF THE PROGRAMME
This overview must be read as an introduction to this Offering Circular. Any decision to invest in
any Instruments should be based on a consideration of this Offering Circular as a whole,
including the documents incorporated by reference.
Words and expressions defined in the "Terms and Conditions of the Notes" or in the "Terms and
Conditions of the W&C Instruments", as applicable, and in the remainder of this Offering Circular
shall have the same meanings in this overview. BAC may issue Notes; MLBV may issue Notes and
Certificates and MLICo. may issue Warrants and Certificates. Notes, Certificates and Warrants are
together referred to as "Instruments".
Issuers:
Bank of America Corporation ("BAC")
Merrill Lynch B.V. ("MLBV")
Merrill Lynch International & Co. C.V. ("MLICo.")
BAC is a Delaware corporation, a bank holding company and a
financial holding company. BAC provides a diversified range of
banking and nonbank financial services and products worldwide.
MLBV is a private limited liability company incorporated under
Dutch law. The main activity of MLBV consists of issuing notes,
certificates and other securities to investors, the proceeds of which
are loaned to, or placed on deposit with, Group companies.
MLICo. is a Curaçao limited partnership of unlimited duration
organised under the laws of Curaçao. MLICo. engages primarily in
the issuance of warrants and related financial instruments and the
distribution of managed fund products.
Guarantor (in respect of Notes
and Certificates issued by
MLBV; and Certificates and
Warrants (other than Secured
W&C Instruments) issued by
MLICo.):
Bank of America Corporation (in such capacity, the "Guarantor")
Description:
Note, Warrant and Certificate Programme
Guarantees:
The payment and non-cash delivery obligations under the
Instruments issued by MLBV and MLICo. (other than Swiss COSIs
and Secured W&C Instruments) are unconditionally and
irrevocably guaranteed by the Guarantor upon and subject to the
terms set out in the Non-COSI Guarantee. The payment obligations
of MLICo., to the extent of any Shortfall under the relevant Series
of Swiss COSIs, will be conditionally but irrevocably guaranteed
by the Guarantor upon and subject to the terms set out in the Swiss
COSI Guarantee.
Calculation Agent:
Merrill Lynch International or such other calculation agent
specified in the applicable Final Terms.
Arranger:
Merrill Lynch International
26
Overview of the Programme
In respect of Notes:
Issuers:
BAC
MLBV
Dealers:
Merrill Lynch International
Merrill Lynch (Singapore) Pte. Ltd.
Notes may also be issued to other dealers and third parties.
Maximum nominal amount of
Notes which may be issued:
MLBV may issue up to €15,000,000,000 (or its equivalent in other
currencies) under this Programme and its other structured products
programmes.
BAC may issue up to U.S.$8,000,000,000 (or its equivalent in other
currencies) under this Programme and certain other of its
international securities programmes and platforms.
Principal Paying Agent:
Bank of America, N.A. (operating through its London Branch)
Registrar:
Merrill Lynch Equity S.à.r.l.
Issue Price:
Notes may be issued on a fully-paid or partly-paid basis at an issue
price which is at par or a discount to, or a premium over, par. The
issue price will be specified in the applicable Final Terms.
Terms of Notes:
MLBV Notes may be denominated in any currency specified in the
applicable Final Terms with any agreed maturity, subject to
compliance with all applicable legal and/or regulatory restrictions.
BAC Notes may be denominated in any currency specified in the
applicable Final Terms with an original maturity date of not less
than 365 days (one year), subject to compliance with all applicable
legal and/or regulatory restrictions.
Notes may: (i) bear interest at a fixed or floating rate; (ii) not bear
interest; (iii) have an interest amount or rate and/or a redemption
amount determined or calculated by reference to one or more
underlying assets or bases of reference such as indices (including
equity, bond, commodity or inflation indices), currency exchange
rates, shares, GDRs or ADRs, fund shares or units, commodities or
the credit of one or more underlying entities (each such underlying
asset or basis of reference, a "Reference Item" and any Reference
Item linked Notes, "Reference Item Linked Notes"); (iv) reference
any combination of the foregoing; (v) be redeemed by physical
delivery ("Physical Delivery Notes") of specified asset(s); and/or
(vi) have such other terms and conditions as specified in the
applicable Final Terms.
Interest periods, interest rates and the terms of and/or amounts
payable on redemption will be specified in the applicable Final
Terms.
27
Overview of the Programme
The applicable Final Terms will indicate either that the relevant
Notes may not be redeemed prior to their stated maturity (other
than in specified instalments (if applicable), for taxation reasons,
following an Event of Default and acceleration of the Notes, or (if
applicable) following an Additional Disruption Event), or that such
Notes will be redeemable at the option of the relevant Issuer and/or
the Noteholders. The redemption of any BAC Note that is longterm debt satisfying certain eligibility criteria ("eligible LTD")
under the final total loss-absorbing capacity rules of the U.S. Board
of Governors of the Federal Reserve System (the "Federal Reserve
Board") will require the prior approval of the Federal Reserve
Board if after such redemption BAC would fail to satisfy its
requirements as to eligible LTD or total loss-absorbing capacity
under such rules.
Physical Delivery Notes:
In order to receive the relevant asset(s), a Noteholder must deliver
an Asset Transfer Notice on or prior to a specified cut-off time and
pay all taxes, duties and/or expenses arising from delivery of the
relevant assets. For certain Reference Item Linked Notes, if certain
disruption events occur on settlement, the relevant settlement date
may be postponed and in certain circumstances the relevant Issuer
will be entitled to make payment of a cash amount in lieu of
physical delivery.
The Non-COSI Guarantee provides that, in the case of Physical
Delivery Notes issued by MLBV, the Guarantor will have the right
to elect not to make physical delivery of the Entitlement, but rather
to pay the Guaranteed Cash Settlement Amount as specified in the
applicable Final Terms.
Negative Pledge:
None
Cross Default:
None
Events of Default:
Terms of the Notes contain, among others, events of default
covering non-payment or non-delivery and relating to the
insolvency of the relevant Issuer.
Taxation:
The relevant Issuer or the Guarantor (if applicable) will, subject to
certain limitations and exceptions (set forth in Condition 9 of the
"Terms and Conditions of the Notes"), pay to Noteholders who are
United States Aliens or (in the case of Notes issued by MLBV) a
Netherlands Non-resident (each as defined in Condition 9 of the
"Terms and Conditions of the Notes") such additional amounts as
may be necessary so that every net payment of principal or interest
or other amount with respect to the Notes or (in the case of Notes
issued by MLBV) the Non-COSI Guarantee after deduction or
withholding for or on account of any present or future tax,
assessment or other governmental charge imposed upon such
Noteholders or by reason of the making of such payment, by the
United States or The Netherlands (as applicable) or any political
subdivision or taxing authority of or in the United States or The
Netherlands (as applicable), as the case may be, will not be less
than the amount provided for in the Notes or the Non-COSI
Guarantee (as applicable) to be then due and payable, except as
provided in Condition 9 of the "Terms and Conditions of the
Notes".
In respect of W&C Instruments:
28
Overview of the Programme
Issuers:
MLBV (in respect of Certificates only)
MLICo. (in respect of Warrants and Certificates)
Dealers:
Merrill Lynch International
Merrill Lynch (Singapore) Pte. Ltd.
W&C Instruments may also be issued to other dealers and third
parties.
Principal Instrument Agent:
Bank of America, N.A. (operating through its London Branch)
Registrar:
Merrill Lynch Equity S.à.r.l.
Issue Price:
W&C Instruments may be issued at such price as shall be
determined by the relevant Issuer or Manager appointed in respect
of the issue. The issue price will be specified in the applicable Final
Terms.
Terms of W&C Instruments:
MLBV may from time to time issue Certificates and MLICo. may
from time to time issue Warrants and Certificates. The terms of
any issue of W&C Instruments may be linked to one or more
underlying assets or bases of reference such as indices (including
equity, bond, commodity or inflation indices), currency exchange
rates, shares, GDRs or ADRs, fund shares or units, commodities or
the credit of one or more underlying entities (each such underlying
asset or basis of reference, a "Reference Item" and any Reference
Item linked W&C Instruments, "Reference Item Linked W&C
Instruments" and, together with any Reference Item Linked Notes,
"Reference Item Linked Instruments") or any combination of the
foregoing and W&C Instruments may be issued on such terms as
may be determined by the relevant Issuer and specified in the
applicable Final Terms.
W&C Instruments may or may not pay additional amounts as
specified in the applicable Final Terms.
Settlement:
Settlement may be by way of cash payment ("Cash Settled") or
physical delivery ("Physical Delivery"). Swedish W&C
Instruments, Finnish W&C Instruments and Rule 144A Warrants
that are also Secured W&C Instruments will be Cash Settled only.
Rule 144A Warrants which are Physical Delivery Warrants will be
issued only in relation to Share Linked Warrants, GDR/ADR
Linked Warrants and Fund Linked Warrants. For certain Physical
Delivery W&C Instruments, if certain disruption events occur on
settlement, the relevant settlement date may be postponed and in
certain circumstances the relevant Issuer will be entitled to make
payment of a cash amount in lieu of physical delivery.
The Non-COSI Guarantee provides that, in the case of Physical
Delivery W&C Instruments, the Guarantor will have the right to
elect not to make physical delivery of the Entitlement, but rather to
pay the Guaranteed Cash Settlement Amount as specified in the
applicable Final Terms.
Exercise Rights:
European Style Warrants are only exercisable on the Exercise Date.
American Style Warrants are exercisable on any Exercise Business
Day during the Exercise Period.
29
Overview of the Programme
The applicable Final Terms will specify whether or not Warrants
will be automatically exercised.
The applicable Final Terms will specify if Warrants may be
automatically exercised early (as a result of an Issuer Call, a
mandatory early exercise or a Holder put).
Certificates will be automatically exercised on the Exercise Date. In
the case of Physical Delivery Certificates in order to receive the
Entitlement in respect of a Certificate, the Holder must deliver a
Collection Notice prior to a specified cut-off time and pay all taxes,
duties and/or expenses arising from such delivery.
The applicable Final Terms will specify if the Exercise Date for
Certificates may be brought forward (as a result of an Issuer Call, a
mandatory early exercise or a Holder put).
Expenses and Taxation:
A holder of a W&C Instrument must pay all taxes, duties and/or
expenses arising from the exercise and settlement of such W&C
Instrument and/or if applicable, delivery of the Entitlement. The
relevant Issuer shall not be liable for tax, duty, withholding or other
payment which may arise as a result of the ownership, transfer,
exercise or enforcement of any W&C Instrument and all payments
will be made subject to any such tax, duty, withholding or other
payment.
Swiss COSIs:
Swiss W&C Instruments may be collateralised in accordance with
the terms of the SIX Swiss Exchange "Framework Agreement for
Collateral-Secured Instruments (COSI)" (the "Framework
Agreement"), dated 24 May 2012, between SIX Swiss Exchange,
SIS, MLICo. and MLCMAG in its capacity as collateral provider
(the "Swiss COSI Collateral Provider") pursuant to which the
Swiss COSI Collateral Provider undertakes to secure the Current
Value of the Swiss W&C Instruments for which "Collateralisation"
is specified to be applicable in the applicable Final Terms.
Secured W&C Instruments:
Secured W&C Instruments will be issued by MLICo. and will be
secured by a segregated pool of collateral assets (the "Collateral
Assets") provided by Merrill Lynch International in its capacity as
collateral provider (the "Secured W&C Instruments Collateral
Provider"). For a further overview of Secured W&C Instruments,
see "Description of the Collateral Arrangements Relating to
Secured W&C Instruments."
Reference Item Linked Instruments
Index Linked Instruments:
Amounts payable in respect of Index Linked Instruments will be
calculated by reference to one or more Indices. The Index may
reference or be comprised of equities, bonds, property, currency
exchange rates or other assets or bases of reference.
Index Linked Instruments may be subject to early redemption or
cancellation, as applicable, or adjustment if an Index is modified or
cancelled and there is no successor index acceptable to the
Calculation Agent, if the Index's Sponsor fails to calculate and
announce the Index, if certain market disruption events occur, or if
certain events (such as illegality, disruptions or cost increases)
occur with respect to the relevant Issuer's and/or any Affiliate's
hedging arrangements.
If certain disruption events occur with respect to valuation of an
Index, such valuation may be postponed and/or may be made by the
30
Overview of the Programme
Calculation Agent. Payments may also be postponed.
Share Linked Instruments:
Amounts payable in respect of Share Linked Instruments will be
calculated by reference to a single Share or basket of Shares. Share
Linked Instruments may also provide for settlement by physical
delivery of a specified amount of Shares of one or more companies,
subject to payment of the Exercise Price (in case of Warrants) and
any other amounts payable.
Share Linked Instruments may, at the discretion of the relevant
Issuer, be subject to early redemption or cancellation, as applicable,
or adjustment (including valuation and in certain circumstances
Share substitutions) if certain corporate events (such as events
affecting the value of a Share (including Share divisions or
consolidations, extraordinary dividends and capital calls), de-listing
of a Share, insolvency, merger or nationalisation of a Share issuer, a
tender offer or redenomination of a Share) occur, if certain events
(such as illegality, disruptions or cost increases) occur with respect
to the relevant Issuer's and/or any Affiliate's hedging arrangements,
or if insolvency filings are made with respect to a Share issuer.
If certain disruption events occur with respect to valuation of a
Share, such valuation may be postponed and/or may be made by the
Calculation Agent. Payments may also be postponed.
GDR/ADR Linked Instruments:
Amounts payable in respect of GDR/ADR Linked Instruments will
be calculated by reference to a single global depositary receipt
("GDR") or American depositary receipt ("ADR") or a basket of
GDRs and/or ADRs. GDR/ADR Linked Instruments may also
provide for settlement by physical delivery of a specified amount of
GDRs and/or ADRs subject to payment of the relevant Exercise
Price (in the case of Warrants) and any other amounts payable.
GDR/ADR Linked Instruments may, at the discretion of the
relevant Issuer, be subject to early redemption or cancellation, as
applicable, or adjustment (including valuation and in certain
circumstances GDR/ADR substitutions) if certain corporate events
(such as events affecting the value of a GDR and/or ADR
(including GDR, ADR or underlying share divisions or
consolidations, extraordinary dividends and capital calls), de-listing
of a GDR, ADR or underlying share, insolvency, merger or
nationalisation of an underlying share issuer, a tender offer or
redenomination of a GDR, ADR and/or underlying share) occur, if
certain events (such as illegality, disruptions or cost increases)
occur with respect to the relevant Issuer's and/or any Affiliate's
hedging arrangements, or if insolvency filings are made with
respect to an underlying share issuer.
FX Linked Instruments:
Amounts payable in respect of FX Linked Instruments will be
calculated by reference to the rate of exchange of a single currency
or basket of currencies. FX Linked Instruments may also provide
for settlement by physical delivery of a specified amount of the
relevant currencies, subject to payment of the relevant Exercise
Price (in the case of Warrants) and any other amounts payable.
If certain disruption events occur with respect to a rate of exchange
of a single currency or basket of currencies, such valuation may be
postponed and/or may be made by the Calculation Agent.
Commodity Linked Instruments:
Amounts payable in respect of Commodity Linked Instruments will
be calculated by reference to a single Commodity and/or
31
Overview of the Programme
Commodity Index or basket of Commodities and/or Commodity
Indices. Commodity Linked Instruments may also provide for
settlement by physical delivery of a specified amount of
Commodities, subject to payment of the relevant Exercise Price (in
the case of Warrants) and any other amounts payable.
If certain disruption events occur with respect to valuation of a
Commodity or futures or options contracts relating to such
Commodity, such valuation may be postponed and/or may be made
by the Calculation Agent. Commodity Linked Instruments linked
to a Commodity Index may be subject to adjustment if the
Commodity Index is modified or cancelled and there is no
successor acceptable to the Calculation Agent or if the Commodity
Index's sponsor fails to calculate and announce the index.
Fund Linked Instruments:
Amounts payable in respect of Fund Linked Instruments will be
calculated by reference to units, interests or shares in a single Fund
or basket of Funds. Fund Linked Instruments may also provide for
settlement by physical delivery of a specified amount of units,
interests or shares of one or more Funds, subject to payment of the
relevant Exercise Price (in the case of Warrants) and any other
amounts payable.
Fund Linked Instruments may, at the discretion of the relevant
Issuer, be subject to early redemption or cancellation, as applicable,
or adjustment (including as to valuations and fund substitutions) if
certain corporate events (such as insolvency (or an analogous
event) or nationalisation of a Fund; litigation against, or regulatory
events occurring with respect to, a Fund; suspensions of Fund
subscriptions or redemptions; certain changes in net asset value or
violations of leverage restrictions of a Fund; Fund reporting
disruptions; or modifications to the investment objectives or
changes in the nature or administration of a Fund) occur, if certain
valuation or settlement disruption events occur with respect to a
Fund, or if certain events (such as illegality, disruptions or cost
increases) occur with respect to the relevant Issuer's and/or any
Affiliate's hedging arrangements.
Fund Linked Instruments linked to Exchange Traded Funds may be
subject to early redemption or cancellation, as applicable, or
adjustment (including as to valuation) if certain corporate events
(such as events affecting the value of a Fund Share including share
divisions or consolidation, de-listing of a Fund Share, insolvency,
merger or nationalisation of a Fund Share issuer, or a tender offer
of a Fund Share) or modifications of its investment objectives occur
or if certain events occur with respect to the relevant Issuer's and/or
Affiliate's hedging arrangements.
If certain disruption events occur with respect to valuation of a
Fund Share in respect of an Exchange Traded Fund, such valuation
may be postponed and/or may be made by the Calculation Agent.
Payments may also be postponed.
Inflation Linked Instruments:
Amounts payable in respect of Inflation Linked Instruments will be
calculated by reference to a single Inflation Index or basket of
Inflation Indices.
Inflation Linked Instruments may be subject to early redemption or
cancellation, as applicable, and/or adjustment if an Inflation Index
is modified or cancelled and there is no successor index acceptable
to the Calculation Agent, or if the Inflation Index Sponsor fails to
32
Overview of the Programme
calculate and announce the Index.
Credit Linked Instruments:
Amounts payable and/or deliverable in respect of Credit Linked
Instruments will be calculated by reference to the credit of a
specified entity or entities.
If an Event Determination Date occurs during the Notice Delivery
Period, the Credit Linked Instruments will be redeemed or
cancelled, as the case may be, and the relevant Issuer will: (a)
where "Auction Settlement" is specified as being applicable in the
Final Terms and subject to the occurrence of a Fallback Settlement
Event, pay the Auction Settlement Amount, (b) if "Cash
Settlement" is specified in the applicable Final Terms or a Fallback
Settlement Event has occurred and the Fallback Settlement Method
is Cash Settlement, pay the Credit Event Redemption Amount or
(c) if "Physical Settlement" is specified as being applicable in the
Final Terms or a Fallback Settlement Event has occurred and the
Fallback Settlement Method is Physical Settlement, deliver the
Deliverable Obligations comprising the Entitlement.
Saudi Share Linked Warrants:
Amounts payable in respect of Saudi Share Linked Warrants will be
calculated by reference to the notional liquidation by a Hypothetical
Dealer of a Hedge Position corresponding to a single Share or
basket of Shares listed on the Saudi Stock Exchange (Tadawul)
during the relevant Execution Period commencing on the Valuation
Date.
Saudi Share Linked Warrants may, at the discretion of MLICo., be
subject to early settlement or cancellation, as applicable, or
adjustment (including valuation and in certain circumstances Share
substitutions) if certain corporate events (such as events affecting
the value of a Share (including Share divisions or consolidations,
extraordinary dividends and capital calls), de-listing of a Share,
insolvency, merger or nationalisation of a Share issuer, a tender
offer or redenomination of a Share) occur, if certain events (such as
illegality, any disruptions, cost increases, or Saudi Arabian-specific
regulatory or other events) occur with respect to MLICo.'s and/or
any Affiliate's hedging arrangements, or if insolvency filings are
made with respect to a Share issuer.
General:
Form and Transfer of
Instruments:
Global Instruments and Clearing Systems
Generally, each Tranche of Instruments (other than Swedish
Instruments, Finnish Instruments and Swiss W&C Instruments) will
at all times be represented by a global warrant, a global certificate
or a global note in registered form (the "Global Instrument"), as
applicable.
Generally, each Global Instrument which is to be issued into and
transferred through accounts at Euroclear Bank SA/NV
("Euroclear") and/or Clearstream Banking société anonyme
("Clearstream, Luxembourg") will be deposited on the issue date
specified in the applicable Final Terms with: (a) in the case of
Instruments (other than Notes intended to be held under the New
Safekeeping Structure (the "NSS")), a common depositary (the
"Common Depositary") (which shall at all times be an entity
located outside the United Kingdom) for Euroclear and/or
Clearstream, Luxembourg or (b) in the case of Notes intended to be
held under the NSS for Euroclear, Clearstream, Luxembourg, a
33
Overview of the Programme
common safekeeper (the "Common Safekeeper").
Certificates and Warrants which are to be issued into and
transferred through accounts at Clearstream Banking AG, Frankfurt
am Main ("Clearstream, Frankfurt") will be constituted by a
global certificate or a global warrant, as applicable, in bearer form
which will be delivered to, and held by, Clearstream, Frankfurt;
provided, however, that such Certificates and Warrants will be
treated as in registered form for United States federal income tax
purposes.
Rule 144A Warrants which are to be issued into and transferred
through accounts at The Depository Trust Company ("DTC" and,
together with Euroclear, Clearstream, Luxembourg, the Swedish
CSD (as defined below), Euroclear Finland (as defined below), SIS
(as defined below) and Clearstream Frankfurt, the "Clearing
Systems" and each a "Clearing System") will be constituted by a
global warrant in registered form which will be registered in the
name of a nominee for DTC and held by the U.S. Warrant Agent as
custodian for DTC.
Swedish Instruments
Swedish Notes, Swedish Warrants and Swedish Certificates
(Swedish Warrants and Swedish Certificates together, "Swedish
W&C Instruments" and, together with Swedish Notes, "Swedish
Instruments") will be registered in uncertificated and
dematerialised electronic book-entry form with Euroclear Sweden
AB, the Swedish central securities depository (the "Swedish CSD")
in accordance with all applicable Swedish laws, regulations and
rules. No definitive or global notes or certificates representing the
relevant Swedish Instruments will be issued to represent such
beneficial owners' interests recorded in the register of the Swedish
CSD.
Finnish Instruments
Finnish Notes, Finnish Warrants and Finnish Certificates (Finnish
Warrants and Finnish Certificates together, "Finnish W&C
Instruments" and, together with Finnish Notes, "Finnish
Instruments") will be registered in uncertificated and
dematerialised book-entry form with the Finnish central securities
depository, Euroclear Finland Ltd. ("Euroclear Finland") in
accordance with all applicable Finnish laws, regulations and rules.
No definitive or global notes or certificates representing the
relevant Finnish Instruments will be issued to represent such
beneficial owners' interests recorded in the register of Euroclear
Finland.
Swiss W&C Instruments
Swiss Warrants and Swiss Certificates (together, "Swiss W&C
Instruments") will on issue be constituted as uncertificated
securities, which will be entered into the main register
(Hauptregister) of SIS and no Holder of Swiss W&C Instruments
will at any time have the right to effect or demand the conversion of
such Swiss W&C Instruments into, or the delivery of, Warrants or
Certificates, as the case may be, in definitive form.
Status of the Instruments:
The Instruments (other than Swiss COSIs and Secured W&C
Instruments) issued by MLBV and MLICo. constitute direct,
34
Overview of the Programme
unsubordinated, unconditional and unsecured obligations of the
relevant Issuer and rank equally among themselves and rank
equally (subject to such exceptions as are from time to time
provided by applicable laws) with all other present and future
direct, unsubordinated, unconditional and unsecured indebtedness
(in the case of Notes) or obligations (in the case of W&C
Instruments) of the relevant Issuer.
The Notes issued by BAC constitute unsecured and unsubordinated
obligations of BAC and will rank equally with all of BAC's other
unsecured and unsubordinated obligations from time to time
outstanding, except obligations, including deposit liabilities, that
are subject to priorities or preferences by law.
Because BAC is a holding company, BAC’s right to participate in
any distribution of assets of any subsidiary upon such subsidiary’s
liquidation or reorganization or otherwise is subject to the prior
claims of creditors of that subsidiary, except to the extent BAC may
itself be recognized as a creditor of that subsidiary. Accordingly,
BAC’s obligations under its Notes will be structurally subordinated
to all existing and future liabilities of its subsidiaries, and claimants
should look only to BAC’s assets for payments. In addition, the
BAC Notes will be unsecured and therefore in a bankruptcy or
similar proceeding will effectively rank junior to BAC’s secured
obligations to the extent of the value of the assets securing such
obligations.
Swiss COSIs constitute direct, unsubordinated and unconditional
obligations of MLICo. and rank equally among themselves and
rank equally (subject to such exceptions as are from time to time
provided by applicable laws) with all other present and future
direct, unsubordinated and unconditional obligations of MLICo.
and are collateralised in accordance with the terms of the
Framework Agreement.
The Secured W&C Instruments constitute direct, unsubordinated
and unconditional obligations of MLICo., secured in respect of the
relevant Collateral Assets, and rank equally among themselves and
rank equally (subject to such exceptions as are from time to time
provided by applicable laws) with all other present and future
direct, unsubordinated, unconditional and secured obligations of
MLICo.
Status of the Guarantees:
The obligations of the Guarantor under each Guarantee, save for
such exceptions as may be provided by applicable laws and
regulations or judicial order, will rank pari passu with its other
present and future unsecured and unsubordinated obligations.
Because BAC is a holding company, BAC’s right to participate in
any distribution of assets of any subsidiary upon such subsidiary’s
liquidation or reorganization or otherwise is subject to the prior
claims of creditors of that subsidiary, except to the extent BAC may
itself be recognized as a creditor of that subsidiary. Accordingly,
BAC’s obligations under the Guarantees will be structurally
subordinated to all existing and future liabilities of its subsidiaries,
and claimants should look only to BAC’s assets for payments. In
addition, each of the Guarantees will be unsecured and therefore in
a bankruptcy or similar proceeding will effectively rank junior to
BAC’s secured obligations to the extent of the value of the assets
securing such obligations.
35
Overview of the Programme
Approval, listing and admission
to trading:
Application has been made to the Luxembourg Stock Exchange for
Instruments issued under the Programme during the 12 months
from the date of this Offering Circular to be admitted to trading on
the Luxembourg Stock Exchange's Euro MTF market and to be
listed on the Official List of the Luxembourg Stock Exchange.
Notes may be listed and/or admitted to trading on such other or
further exchange(s) and/or market(s) as determined by the relevant
Issuer.
The W&C Instruments may be listed on SIX Swiss Exchange and
admitted to trading on SIX Structured Products Exchange and/or
listed or admitted to trading, as the case may be, on such other or
further stock exchange(s) or market(s) as determined by the
relevant Issuer. Instruments which are neither listed nor admitted
to trading on any market may also be issued.
Governing Law:
The Instruments issued by MLBV and MLICo., and any noncontractual obligations arising out of or in connection with them,
will be governed by, and construed in accordance with, English
law. Notes issued by BAC will be governed by, and construed in
accordance with, the laws of the State of New York, United States.
Each Guarantee will be governed by, and construed in accordance
with, the laws of the State of New York, United States.
Rating:
The Programme has no rating. If any issue of Notes under the
Programme is to be rated, the rating of such Notes will be specified
in the applicable Final Terms. Any such rating is not a
recommendation to buy, sell or hold securities and may be subject
to suspension, reduction or withdrawal at any time by the assigning
rating agency.
Selling Restrictions:
There are restrictions on the offer, sale and transfer of the
Instruments in the United States, the European Economic Area
(including Luxembourg, the United Kingdom, France, Italy and
The Netherlands), Argentina, Australia, Bahrain, Brazil, Cayman
Islands, Chile, China, Colombia, Hong Kong, India, Indonesia,
Israel, Japan, Malaysia, Mauritius, Mexico, Pakistan, Panama, Peru,
Philippines, Singapore, South Korea, Spain, Switzerland, Taiwan,
Thailand, Republic of Turkey, Uruguay, Venezuela and Vietnam,
and such other restrictions as may be required in connection with
the offering and sale of a particular Series of Instruments (see
"Offering and Sale").
Risk Factors:
In the course of conducting their business operations, BAC and its
subsidiaries (together, the "Group"), including MLBV and
MLICo., are exposed to a variety of risks, some of which are
inherent in the financial services industry and others of which are
more specific to their own businesses, and that are material for
purposes of assessing the risks associated with investing in the
Instruments. See "Risk Factors" for more information regarding
these risks.
POTENTIAL
INVESTORS
MUST
REVIEW
THE
APPLICABLE FINAL TERMS TO ASCERTAIN WHAT THE
RELEVANT REFERENCE ITEM(S) ARE AND TO SEE
HOW THE CASH SETTLEMENT AMOUNT, FINAL
REDEMPTION AMOUNT OR ENTITLEMENT, AS THE
CASE MAY BE, PAYABLE AND/OR DELIVERABLE ON
THE INSTRUMENTS AND ANY INTEREST PAYMENTS
(IN THE CASE OF NOTES) OR ANY ADDITIONAL
AMOUNT PAYMENTS (IN THE CASE OF W&C
36
Overview of the Programme
INSTRUMENTS) ARE DETERMINED AND WHEN SUCH
AMOUNTS ARE PAYABLE AND/OR DELIVERABLE, AS
THE CASE MAY BE, BEFORE MAKING ANY DECISION
TO PURCHASE ANY INSTRUMENTS.
37
Risk Factors
RISK FACTORS
An investment in the Instruments involves substantial risks and is a riskier investment than an
investment in ordinary debt or equity securities. The Instruments are not equivalent to investing
directly in the Reference Items (if any).
Each of BAC (in its capacity as Issuer and in its capacity as Guarantor, with respect with respect to
Instruments other than Secured W&C Instruments), MLBV and MLICo. believes that the following
factors may affect its ability to fulfil its obligations in respect of its relevant Instruments issued under
the Programme and/or are material for the purpose of assessing the market risks associated with its
Instruments issued under the Programme. All of these factors are contingencies which may or may not
occur, and none of BAC, MLBV and MLICo. is in a position to express a view on the likelihood of any
such contingency occurring.
Each of BAC (in its capacity as Issuer and in its capacity as Guarantor, with respect to Instruments
other than Secured W&C Instruments), MLBV and MLICo. believes that the factors described below
represent the principal risks inherent in investing in the relevant Instruments issued under the
Programme, but the inability of the relevant Issuer or the Guarantor (if applicable) to pay any cash
amounts in connection with any cash settled instruments ("Cash Settled Instruments") or to deliver the
Entitlement in connection with any physical delivery instruments ("Physical Delivery Instruments")
may occur for other reasons, and none of the Issuers nor the Guarantor represents that the statements
below regarding the risks of holding any such Instruments are exhaustive. Additional risks and
uncertainties not presently known to any of BAC (in its capacity as Issuer and in its capacity as
Guarantor, with respect to Instruments other than Secured W&C Instruments) or MLBV or MLICo. or
that any of BAC (in its capacity as Issuer and in its capacity as Guarantor, with respect to Instruments
other than Secured W&C Instruments) or MLBV or MLICo. currently believes to be immaterial could
also have a material impact on its business operations or the relevant Instruments. The Final Terms in
respect of an issue of Instruments may contain additional Risk Factors in respect of such Instruments.
Prospective investors should also read the detailed information set out elsewhere in this Offering
Circular and reach their own views prior to making any investment decision.
Terms used in this section and not otherwise defined shall have the meanings given to them in the
"Terms and Conditions of the Notes" or the "Terms and Conditions of the W&C Instruments", as
applicable (together the "Conditions" and references herein to "relevant Conditions" shall be
construed accordingly).
Organisation of the Risk Factors
1.
Risk Factors Relating to the Relevant Issuer's and (with respect to Instruments other than
Secured W&C Instruments) the Guarantor's Ability to Fulfil Their Respective Obligations
Under the Relevant Instruments
2.
Risk Factors Relating to BAC and the Group and to the Group's Businesses and
Industry
Risks Relating to the Instruments Generally
Risks Relating to Notes
Risks Relating to W&C Instruments
Risks Relating to Warrants
Risks Relating to Swiss COSIs
Risks Relating to the Market Generally
Risks Relating to the Structure of a Particular Issue of Instruments
(a)
General risks relating to Reference Item Linked Instruments
(b)
Risks associated with baskets comprised of various components as Reference Items
(c)
Risks relating to Instruments linked to certain Reference Item(s)
(i)
Risks relating to Index Linked Instruments
(ii)
Risks relating to Share Linked Instruments
(iii) Risks relating to GDR/ADR Linked Instruments
(iv) Risks relating to FX Linked Instruments and other Instruments in respect of
which "Exchange Rate" is specified to be applicable
(v)
Risks relating to Commodity Linked Instruments
(vi) Risks relating to Fund Linked Instruments
3.
4.
5.
6.
7.
8.
9.
38
Risk Factors
(vii)
(viii)
(ix)
(x)
Risks relating to Inflation Linked Instruments
Risks relating to Credit Linked Instruments
Risks relating to Saudi Share Linked Warrants
Risks relating to Secured W&C Instruments
Risk Factors Relating to the Relevant Issuer's and (with respect to the Instruments other than Secured
W&C Instruments) the Guarantor's Ability to Fulfil Their Respective Obligations Under the Relevant
Instruments
BAC is the ultimate parent company of the Bank of America group of companies (BAC and its
consolidated subsidiaries, the "Group"). MLBV and MLICo. are both part of the Group, and, as such,
may be affected by uncertain or unfavourable economic, market, legal and other conditions that are
likely to affect BAC as a whole.
Each of MLBV and MLICo. is a finance vehicle whose principal purpose is to raise debt or enter into
financial contracts to assist the financing activities of such Issuer's affiliates. Accordingly, neither
MLBV nor MLICo. has any trading assets nor generates any significant net income. MLBV and
MLICo. transact with, and depend on, entities within the Group.
The payment and non-cash delivery obligations under Instruments issued by MLBV and MLICo. (other
than in respect of Swiss COSIs and Secured W&C Instruments) under the Programme are guaranteed
unconditionally and irrevocably pursuant to the Non-COSI Guarantee. MLICo.'s payment obligations
to the extent of any Shortfall under the relevant Series of Swiss COSIs issued under the Programme
will be guaranteed conditionally but irrevocably pursuant to the Swiss COSI Guarantee. As a result, if
the Guarantor's financial condition were to deteriorate, the value of such Instruments (other than
Secured W&C Instruments) may be affected and each of MLBV and MLICo. and investors in such
Instruments (other than Secured W&C Instruments) may suffer direct and materially adverse
consequences. Accordingly, prospective investors in such Instruments (other than Secured W&C
Instruments) should review, inter alia, the factors below regarding BAC, the Group (as defined above)
and the Group's businesses and industry, which may affect the relevant Issuer's ability to repay its
obligations and BAC's ability to fulfil its obligations under the relevant Guarantee.
Payments on the Instruments are subject to the credit risk of the relevant Issuer and (other than in
respect of Secured W&C Instruments) BAC, in its capacity as the Guarantor, and the value of the
Instruments (other than Secured W&C Instruments) will be affected by a credit rating reduction of
BAC
The amounts payable or deliverable on the Instruments at maturity, redemption, settlement, expiration
or exercise are dependent upon the ability of the relevant Issuer and (other than in respect of Secured
W&C Instruments) BAC, in its capacity as the Guarantor, to repay (or deliver, as applicable) their
respective obligations on the applicable maturity date, redemption date, settlement date, expiration date
or exercise date. If the relevant Issuer and (other than in respect of Secured W&C Instruments) BAC,
in its capacity as the Guarantor, are not able to fulfil their respective obligations under the Instruments
to Holders, investors will be unsecured (other than in respect of Secured W&C Instruments) and will
not have the protection of the U.S. Federal Deposit Insurance Corporation, the U.S. Deposit Insurance
Fund, the UK Financial Services Compensation Scheme or any other government or governmental
agency, or insurance protection scheme in any jurisdiction. In such case, the return on the Instruments
(other than Secured W&C Instruments) will be reduced and may be zero. This will be the case even if
the value of the Reference Item increases (or decreases, as the case may be) after the pricing date. No
assurance can be given as to what the financial condition of the relevant Issuer or (other than in respect
of Secured W&C Instruments) BAC, in its capacity as the Guarantor, will be on the applicable maturity
date, redemption date, settlement date, expiration date or exercise date.
Furthermore, the value of the Instruments (other than Secured W&C Instruments) is expected to be
affected, in part, by investors' general appraisal of BAC's creditworthiness and actual or anticipated
changes in BAC's credit ratings prior to the maturity date, redemption date, settlement date, expiration
date or exercise date may affect the value of the Instruments (other than Secured W&C Instruments).
Such perceptions are generally influenced by the ratings accorded to BAC's outstanding securities by
standard statistical rating services. A reduction (or anticipated reduction) in the rating, if any, accorded
to outstanding debt securities of BAC by one of these rating agencies could result in a reduction in the
39
Risk Factors
trading value of the Instruments (other than Secured W&C Instruments). As the return on the
Instruments depends upon factors in addition to the ability of the relevant Issuer or (other than in
respect of Secured W&C Instruments) BAC, in its capacity as the Guarantor, to pay its respective
obligations, an improvement in these credit ratings will not reduce the other investment risks related to
such Instruments. A credit rating is not a recommendation to buy, sell, or hold any of the Instruments
and may be subject to suspension, change, or withdrawal at any time by the assigning rating agency.
Risk Factors Relating to BAC and the Group and to the Group's Businesses and Industry
When used in this Offering Circular, and as required by the context, "BAC" may refer to Bank of
America Corporation individually, Bank of America Corporation and its consolidated subsidiaries or
certain of Bank of America Corporation's subsidiaries or affiliates, individually or collectively.
In the course of conducting its business operations, BAC is exposed to a variety of risks, some of
which are inherent in the financial services industry and others of which are more specific to BAC's
own businesses. The most significant factors, of which BAC is currently aware, that could affect
BAC's businesses, results of operations and financial condition are described in the BAC 2015 Annual
Report under the caption "Item 1A Risk Factors", as supplemented by "Item 1A Risk Factors" of the
BAC 30 June 2016 Quarterly Report. Additional factors that could affect BAC's businesses, results of
operations and financial condition are discussed in the BAC 2015 Annual Report under the heading
"Forward-looking Statements" and in the BAC 31 March 2016 Quarterly Report under the heading
"Management's Discussion and Analysis of Financial Condition and Results of Operations". However,
other factors not discussed in the BAC 2015 Annual Report or the BAC 31 March 2016 Quarterly
Report could also adversely affect BAC's businesses, results of operations and financial condition.
Therefore, the risk factors set forth in the BAC 2015 Annual Report should not be considered a
complete list of the potential risks that BAC may face.
Any risk factor described in the BAC 2015 Annual Report, the BAC 30 June 2016 Quarterly
Report or in any of BAC's other SEC filings could by itself, or together with other factors,
materially adversely affect BAC's liquidity, cash flows, competitive position, business, reputation,
results of operations, capital position or financial condition, including by materially increasing
BAC's expenses or decreasing BAC's revenues, which could result in material losses.
BAC’s preferred single point of entry resolution strategy could adversely affect BAC’s liquidity and
financial condition and its ability to pay the holders of its debt securities and its ability to make
payments and non-cash delivery obligations under its Guarantees.
BAC is required annually to submit a plan to its primary regulatory authorities describing BAC’s
resolution strategy under the U.S. Bankruptcy Code in the event of material financial distress or failure.
In BAC’s current plan, its preferred resolution strategy is a single point of entry ("SPOE") strategy.
This strategy provides that only BAC (excluding its consolidated subsidiaries) is resolved under the
U.S. Bankruptcy Code and was designed to provide certain key operating subsidiaries with sufficient
capital and liquidity to operate through severe stress and to enable such subsidiaries to continue
operating following a BAC bankruptcy. BAC has entered into intercompany arrangements governing
the contribution of capital and liquidity with these key subsidiaries. As part of these arrangements,
BAC has transferred certain of its assets (and has agreed to transfer additional assets) to a whollyowned holding company subsidiary in exchange for a subordinated note. Certain of BAC's remaining
assets secure its ongoing obligations under these intercompany arrangements. The wholly-owned
holding company subsidiary has also provided a committed line of credit which, in addition to BAC’s
cash, dividends and interest payments, including interest payments BAC receives in respect of the
subordinated note, may be used to fund BAC's obligations. These intercompany arrangements include
provisions to terminate the line of credit, forgive the subordinated note and require BAC to contribute
its remaining financial assets to the wholly-owned holding company subsidiary if BAC’s projected
liquidity resources deteriorate so severely that resolution becomes imminent, which could materially
and adversely affect BAC’s liquidity and ability to meet its payment obligations, including under the
BAC Notes and under the Guarantees. In addition, BAC’s preferred resolution strategy could result in
holders of Instruments being in a worse position and suffering greater losses than would have been the
case under bankruptcy or other resolution scenarios or plans.
40
Risk Factors
BAC is subject to the Federal Reserve Board’s final rules requiring U.S. global systemically
important bank holding companies to maintain minimum amounts of long-term debt meeting
specified eligibility requirements.
On December 15, 2016, the Federal Reserve Board released final rules (the "TLAC Rules") that would
require the U.S. global systemically important bank holding companies, including BAC, to, among
other things, maintain minimum amounts of long-term debt satisfying certain eligibility criteria
("eligible LTD") commencing 1 January 2019. Any senior long-term debt issued on or after January 1,
2017 must include revised terms in accordance with the final rule in order to qualify as eligible LTD.
Actions required to comply with the TLAC Rules could impact BAC’s funding and liquidity risk
management plans.
If BAC enters a resolution proceeding, holders of BAC’s unsecured debt securities, including the
BAC Notes, would be at risk of absorbing BAC’s losses.
Under the TLAC Rules, BAC is required to maintain minimum amounts of eligible LTD for the
purpose of absorbing BAC’s losses in a resolution proceeding under either the U.S. Bankruptcy Code
or Title II of the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (the
"Financial Reform Act"). If BAC enters a resolution proceeding under either the U.S. Bankruptcy
Code or Title II of the Financial Reform Act, BAC’s unsecured debt, including the BAC Notes, would
be at risk of absorbing BAC’s losses and could be significantly reduced or eliminated. Under BAC’s
SPOE resolution strategy, and single point of entry recapitalization strategy preferred by the FDIC
under Title II of the Financial Reform Act, the value that would be distributed to holders of BAC’s
unsecured debt, including the BAC Notes, may not be sufficient to repay all or part of the principal
amount and interest on such debt, and holders of such debt could receive no consideration at all under
these resolution scenarios. Either of these resolution strategies could result in holders of the BAC
Notes being in a worse position and suffering greater losses than would have been the case under a
different resolution strategy. Accordingly, investors in the BAC Notes should assess BAC’s risk
profile when making an investment decision to purchase the BAC Notes. Although SPOE is BAC’s
preferred resolution strategy, neither BAC nor a bankruptcy court would be obligated to follow BAC’s
SPOE strategy. Additionally, the FDIC is not obligated to follow its SPOE strategy to resolve BAC
under Title II of the Financial Reform Act. For more information regarding the financial consequences
of any such resolution proceeding to the holders of BAC’s unsecured debt securities, see "Bank of
America Corporation – Financial Consequences to Unsecured Debtholders of Single Point of Entry
Resolution Strategy".
BAC's obligations on the BAC Notes and on the Guarantees will be structurally subordinated to
liabilities of BAC's subsidiaries.
Because BAC is a holding company, the right of BAC to participate in any distribution of the assets of
any subsidiary (including each of MLBV and MLICo.) upon such subsidiary’s liquidation or
reorganisation or otherwise, is subject to the prior claims of creditors of the subsidiary, except to the
extent that BAC itself is recognised as a creditor of that subsidiary. As a result, BAC's obligations
under the BAC Notes or under the Guarantees will be structurally subordinated to all existing and
future liabilities of BAC's subsidiaries, and claimants under the BAC Notes or the Guarantees should
look only to BAC's assets for payment. In addition, creditors of subsidiaries recapitalised pursuant to
BAC's resolution plan would generally be entitled to payment of their claims from the assets of the
subsidiaries, including BAC's contributed assets.
Risks Relating to the Instruments Generally
Investors risk losing all of their investment in the Instruments
Potential investors should be aware that depending on the terms of the relevant Instruments (i)
they may receive no or a limited amount of interest, (ii) payments may occur at a different time
than expected and (iii) except in the case of principal protected Instruments, they may lose all or
a substantial portion of their investment if the value of the Reference Item(s) does not move in
the anticipated direction.
Investors in Instruments which are principal protected may still be subject to loss of some or all
of their investment if the relevant Issuer and (if applicable) the Guarantor are subject to
41
Risk Factors
bankruptcy or insolvency proceedings or some other event occurs which impairs the ability of
each to meet its obligations under the Instruments and (if applicable) the relevant Guarantee.
An investor may also lose some or all of its investment if it seeks to sell the relevant Instruments
prior to their scheduled maturity, and the sale price of the Instruments in the secondary market
is less than the initial investment or the relevant Instruments are subject to certain adjustments
in accordance with the terms and conditions of such Instruments that may result in the scheduled
amount to be paid or asset(s) to be delivered upon redemption being reduced to or being valued
at an amount less than an investor's initial investment.
The Instruments may not be a suitable investment for all investors
Each potential investor in the Instruments must determine the suitability of that investment in light of
its own circumstances. In particular, each potential investor should:
(a)
have sufficient knowledge and experience to evaluate the Instruments, the merits and risks of
investing in the Instruments and the information contained or incorporated by reference in this
Offering Circular or any applicable supplement and all the information contained in the
applicable Final Terms;
(b)
have access to, and knowledge of, appropriate analytical tools to evaluate, in the context of its
particular financial situation, an investment in the Instruments and the impact the Instruments
will have on its overall investment portfolio;
(c)
have sufficient financial resources and liquidity to bear all of the risks of an investment in the
Instruments, including Instruments with amounts payable in one or more currencies, or where
the Settlement Currency or Specified Currency of the Instruments is different from the
potential investor's currency;
(d)
have knowledge of and access to appropriate analytical resources to analyse quantitatively the
effect (or value) of any redemption, cap, floor, or other features of the Instruments, and the
resulting impact upon the value of the Instruments;
(e)
understand thoroughly the terms of the Instruments and be familiar with any relevant indices
and financial markets; and
(f)
be able to evaluate (either alone or with the help of a financial adviser) possible scenarios for
economic, interest rate and other factors that may affect its investment and its ability to bear
the applicable risks.
The Instruments are complex financial instruments. A potential investor should not invest in
Instruments unless it has the expertise (either alone or with a financial adviser) to evaluate how such
Instruments will perform under changing conditions, the resulting effects on the value of those
Instruments and the impact this investment will have on the potential investor's overall investment
portfolio.
In addition, an investment in Index Linked Instruments, Share Linked Instruments, GDR/ADR Linked
Instruments, FX Linked Instruments, Commodity Linked Instruments, Fund Linked Instruments,
Inflation Linked Instruments, Credit Linked Instruments, Saudi Share Linked Warrants or other
Reference Item Linked Instruments, may entail significant risks not associated with investments in
conventional securities such as debt or equity securities, including, but not limited to, the risks set out
in "Risks Relating to the Structure of a Particular Issue of Instruments" below.
The Instruments (other than Swiss COSIs and Secured W&C Instruments) are unsecured
obligations
Save in respect of Swiss COSIs (in respect of which see "Risks related to Swiss COSIs" below) and
Secured W&C Instruments (in respect of which see "Risks related to Secured W&C Instruments"
below), the Instruments issued by each of MLBV and MLICo. constitute direct, unsubordinated,
unconditional and unsecured obligations of the relevant Issuer and rank equally among themselves and
rank equally (subject to exceptions as are from time to time provided by applicable laws) with all other
present and future direct, unsubordinated, unconditional and unsecured indebtedness or obligations, as
applicable, of the relevant Issuer.
42
Risk Factors
The Notes issued by BAC will be unsecured and unsubordinated obligations of BAC and will rank
equally with all of BAC's other unsecured and unsubordinated obligations from time to time
outstanding, except obligations, including deposit liabilities, that are subject to any priorities or
preferences by law.
Swiss COSIs constitute direct, unsubordinated and unconditional obligations of MLICo. and rank
equally among themselves and rank equally (subject to such exceptions as are from time to time
provided by applicable laws) with all other present and future direct, unsubordinated and unconditional
obligations of MLICo. and are collateralised in accordance with the terms of the Framework
Agreement.
The obligations of the Guarantor under each Guarantee, save for such exceptions as may be provided
by applicable laws and regulations or judicial order, will rank pari passu with its other present and
future unsecured and unsubordinated obligations.
There are restrictions on the ability of BAC's subsidiaries to pay dividends, make loans and make
advances to BAC
BAC is a legal entity separate and distinct from its subsidiaries. A significant source of funds to pay
principal and interest on its debt is dividends and other funds from its subsidiaries. Various U.S.
federal and state statutory provisions and regulations limit the amount of dividends BAC's subsidiary
banks and certain other subsidiaries may pay without regulatory approval. In addition, under various
U.S. laws and regulations, the ability of BAC's subsidiary banks to make loans and transfer funds to
BAC may be restricted. U.S. federal banking regulators have the authority to prohibit BAC's
subsidiary banks from engaging in unsafe or unsound practices in conducting their businesses. The
payment of dividends or making loans or advances to BAC could be deemed an unsafe or unsound
practice, depending on the financial condition of the bank in question or other facts and circumstances.
The ability of BAC's subsidiary banks to pay dividends, make loans or other advances to BAC in the
future is currently, and could be further, influenced by bank regulatory policies and capital guidelines.
If BAC's subsidiaries are restricted from paying dividends, making loans or making advances to BAC,
BAC's ability to fulfil its obligations under its Notes and the Guarantees (if applicable) may be
adversely affected.
The yield on the Instruments may be less than the yield on a conventional debt security of
comparable maturity
Any yield that an investor may receive on the Instruments, which could be negative, may be less than
the return an investor would earn if the investor purchased a conventional debt security with the same
maturity date. As a result, an investment in the Instruments may not reflect the full opportunity cost to
an investor when factors that affect the time value of money, such as inflation, are considered.
Movements in the level or price of a Reference Item will affect the performance of the Instruments
The level or price of the Reference Item may be subject to significant fluctuations that may not
correlate with changes in interest rates, currencies or other indices and the timing of changes in the
relevant level or price of the Reference Item. This may affect the actual yield to investors, even if the
average level or price of the Reference Item during the life of the Instruments is consistent with
investors' expectations. In general, the earlier the change in the level or price of the Reference Item,
the greater the effect on the yield of the Instruments.
Leverage will magnify the effect of changes in the Reference Item
If the formula used to determine any amount payable and/or non-cash consideration deliverable
contains a multiplier or leverage factor, then the percentage change in the value of the Instrument will
be greater than any positive and/or negative performance of the Reference Item(s). Any Instruments
which include such multiplier or leverage factor represent a very speculative and risky form of
investment since any change in the value of the Reference Item(s) carries the risk of a correspondingly
higher change in the value of the Instruments.
For Tranched Portfolio CLNs, the Implicit Portfolio Size of the Reference Portfolio is likely to be
significantly larger than the nominal amount of the Notes. Accordingly, the credit risk of investors in
the Notes in relation to the Reference Portfolio is leveraged. The value of such Notes may be more
43
Risk Factors
volatile, and credit losses in respect of such Notes may be greater than would be the case in the absence
of such leverage. The value of such Notes may also be adversely affected by changes in the relative
value of different tranches of credit risk on the Reference Portfolio. Such relative value changes may
occur as a result of, for example, changes in assumptions used by market participants to model the
credit risk of the Reference Portfolio, as well as changes in the supply of and demand for credit
protection in relation to each such tranche.
A postponement of valuation or determination due to a Market Disruption Event and Disrupted Day
may have an adverse effect on the value of the Instruments
If the Instruments include provisions dealing with the occurrence of a Market Disruption Event or a
failure of an exchange or related exchange to open on a Valuation Date, an Averaging Date or a Pricing
Date and the Calculation Agent determines that a Market Disruption Event or such failure has occurred
or exists on any relevant date, any consequential postponement of the relevant date or any alternative
provisions for valuation provided in the Instruments may have an adverse effect on the value of the
Instruments or of any amounts payable under the Instruments.
The occurrence of a Payment Disruption Event may lead to a delayed and/or reduced payment
If a Payment Disruption Event is applicable to an Instrument, as specified in the applicable Final
Terms, then, in the event that the Calculation Agent determines, in its sole discretion, that an event that
(i) prevents, restricts or delays the relevant Issuer from converting or delivering relevant currencies, (ii)
imposes capital or exchange controls, (iii) implements changes to laws relating to foreign investments,
or (iv) otherwise prohibits or prevents the Issuer from making a payment or performing an obligation
required of it as a result of war, catastrophe, governmental action or other event beyond its control (a
"Payment Disruption Event") has occurred or is likely to occur, then either (a) the relevant exercise
or payment date (as applicable) in respect of the Instruments or (b) the relevant Issuer's obligation to
make a payment in respect of such exercise or payment date may be postponed to a date falling five
Business Days (or such other date as may be determined by the Calculation Agent and notified to
Holders) after the date on which the Payment Disruption Event is no longer occurring. No accrued
interest will be payable in respect of any such postponement and no Event of Default in respect of the
Instruments will result from such postponement. Partial payments or physical delivery of Shares in
lieu of cash settlement of Share Linked Instruments may, in the relevant Issuer's sole discretion, be
made during such period (after deduction for any expenses). In the event that a Payment Disruption
Event is still continuing on the date which is one year after the last date on which amounts are due
under the Instruments (or in the case of Saudi Share Linked Warrants, the earlier of (x) one year after
the last date on which amounts are due under the Instruments and (y) four years after the Trade Date)
(the "Payment Event Cut-Off Date"), then (1) such final payment date shall be extended to the
Payment Event Cut-Off Date and (2) the remaining amounts payable under the Instruments shall be
deemed to be zero and the relevant Issuer shall have no obligations whatsoever under the Instruments.
Therefore, in a case where Payment Disruption Event is specified as applicable in the applicable Final
Terms, the Holder could lose all or part of its investment in the Instruments.
In the event that the relevant Issuer satisfies its obligation to make a cash payment by the delivery of
Shares following the occurrence of a Payment Disruption Event, Holders may be unable to sell such
Shares, or may be unable to sell them at a price equal to the cash payment that would have been
payable but for the occurrence of the Payment Disruption Event.
The occurrence of a CNY Payment Disruption Event may lead to a delayed and/or reduced payment
or payment in another currency
If a CNY Payment Disruption Event is applicable to an Instrument, as specified in the applicable Final
Terms, then, in the event that the Calculation Agent determines, in its sole discretion, that any of the
following events has occurred or is likely to occur: (i) an event that makes it impossible or impractical
for the relevant Issuer to convert any amounts in CNY due in respect of the Instruments in the general
CNY foreign exchange market in the relevant CNY Settlement Centre(s), (ii) an event that makes it
impossible or impractical for the relevant Issuer to deliver CNY between accounts inside the relevant
CNY Settlement Centre(s) or from an account inside the relevant CNY Settlement Centre(s) to an
account outside the relevant CNY Settlement Centre(s), or (iii) the general CNY foreign exchange
market in the relevant CNY Settlement Centre becomes illiquid as a result of which the relevant Issuer
cannot obtain sufficient CNY in order to satisfy its payment obligations (in whole or in part) under the
44
Risk Factors
Instruments (each, a "CNY Payment Disruption Event"), then either (a) the relevant exercise or
payment date (as applicable) in respect of the Instruments, or (b) the relevant Issuer's obligation to
make a payment in respect of such exercise or payment date, may be postponed to a date falling five
Business Days (or such other date as may be determined by the Calculation Agent and notified to
Holders) after the date on which the CNY Payment Disruption Event is no longer occurring. No
accrued interest will be payable in respect of any such postponement and no Event of Default in respect
of the Instruments will result from such postponement. In the event that a CNY Payment Disruption
Event is still continuing on the Payment Event Cut-Off Date, then (1) such final payment date shall be
extended to the Payment Event Cut-Off Date and (2) the remaining amounts payable under the
Instruments shall be deemed to be zero and the relevant Issuer shall have no obligations whatsoever
under the Instruments. Therefore, in a case where a CNY Payment Disruption Event is relevant as
specified in the applicable Final Terms, the Holder could lose all or part of its investment in the
Instruments. If "Payment of Equivalent Amount" is applicable to an Instrument, as specified in the
applicable Final Terms, the relevant Issuer may make payment of the equivalent amount of the relevant
Interest Amount, Fixed Coupon Amount, Final Redemption Amount, Additional Amount, Cash
Settlement Amount or other amount payable under the Instruments in another currency as specified in
the applicable Final Terms.
Risks relating to Instruments denominated in CNY
All payments in CNY under the Instruments will be made solely by credit or transfer to a CNY account
maintained by the payee with a bank in the CNY Settlement Centre in accordance with the prevailing
rules and regulations and in accordance with the Conditions. The relevant Issuer shall not be required
to make payment by any other means (including in bank notes or by transfer to a bank account in the
People's Republic of China or anywhere else other than the CNY Settlement Centre).
There is only limited availability of CNY outside the People's Republic of China, which may affect the
liquidity of the Instruments and the relevant Issuer's ability to source CNY outside the People's
Republic of China to fulfil its payment obligations under the Instruments.
CNY is not freely convertible at present. The government of the People's Republic of China continues
to regulate conversion between CNY and foreign currencies despite the significant reduction over the
years by such government of its control over routine foreign exchange transactions under current
accounts. The People's Bank of China ("PBOC") has established a clearing and settlement system
pursuant to the Settlement Agreement on the Clearing of CNY Business between PBOC and Bank of
China (Hong Kong) Limited. However, the current size of CNY and CNY denominated financial
assets in the Hong Kong Special Administrative Region is limited, and its growth is subject to many
constraints imposed by the laws and regulations of the People's Republic of China on foreign exchange.
There can be no assurance that access to CNY funds for the purposes of making payments under the
Instruments or generally may remain or will not become restricted.
The value of CNY against foreign currencies fluctuates and is affected by changes in the People's
Republic of China and international political and economic conditions and by many other factors. As a
result, foreign exchange fluctuations between a purchaser's home currency and CNY may affect
purchasers who intend to convert gains or losses from the sale or redemption of the Instruments into
their home currency. The government of the People's Republic of China has gradually liberalised the
regulation of interest rates in recent years. Further liberation may increase interest rate volatility.
If a Currency Substitution Event with respect to the Instruments occurs, adjustments may be made
to the economic terms of the Instruments which may result in a reduced investment return
In the event of a Currency Substitution Event, the relevant Issuer may (a) make adjustments to the
economic terms of the relevant Instruments, including, without limitation, to the exercise, settlement,
valuation, calculation and payment terms or (b) redeem or settle the Instruments early on such day as
shall be notified to the Holders at an early redemption amount or early settlement amount that accounts
for the Currency Substitution Event. Any such action may reduce the value of the Instruments and may
result in the amounts paid or non-cash consideration delivered under the Instruments being less than
what would have been paid or delivered if the adjustments had not been made or the early redemption
or settlement had not occurred, and may be less, or significantly less, than the initial investment.
45
Risk Factors
The relevant Issuer may make certain modifications to the Instruments without the consent of the
Holders
The Conditions provide that the relevant Agent and the relevant Issuer may, without the consent of
Holders, agree to (i) any modification (subject to certain specific exceptions) of the Instruments or the
New York Law Agency Agreement or the English Law Agency Agreement (as applicable) (each as
defined in the "Terms and Conditions of the Notes") which is not prejudicial to the interests of the
Holders or (ii) any modification of the Instruments or the New York Law Agency Agreement or the
English Law Agency Agreement (as applicable) which is of a formal, minor or technical nature or is
made to correct a manifest error or proven error or to comply with mandatory provisions of law.
At meetings of Holders, the decision of the majority will bind all Holders
The Conditions contain provisions for calling meetings of Holders to consider matters affecting their
interests generally. These provisions permit defined majorities to bind all Holders, including Holders
who did not attend and vote at the relevant meeting and Holders who voted in a manner contrary to the
majority.
There may be conflicts of interest between the relevant Issuer, the Guarantor (if applicable) and/or
their respective Affiliates and the Holders
The relevant Issuer, the Guarantor (if applicable) and/or any of their respective Affiliates or agents may
engage in activities that may result in conflicts of interests between their and their respective Affiliates'
or agents' financial interests on the one hand and the interests of the Holders on the other hand. The
relevant Issuer, the Guarantor (if applicable) and/or any of their respective Affiliates or agents may also
engage in trading activities (including hedging activities) related to the Reference Item(s) underlying
any Instruments and other instruments or derivative products based on or related to the Reference
Item(s) underlying any Instruments for their proprietary accounts or for other accounts under their
management. The relevant Issuer, the Guarantor (if applicable) and/or any of BAC's Affiliates or
agents may also issue other derivative instruments in respect of the Reference Item(s) underlying
Instruments. The relevant Issuer, the Guarantor (if applicable) and/or any of BAC's Affiliates or agents
may also act as underwriter in connection with future offerings of Shares or other securities related to
an issue of Instruments or may act as financial adviser to certain companies whose Shares or other
securities are included in a basket of Shares or other securities or which are reference entities, or in a
commercial banking capacity for any such companies. Such activities could present certain conflicts of
interest, could influence the prices of such shares or other securities and could adversely affect the
value of such Instruments. The relevant Issuer also may enter into arrangements with Affiliates or
agents to hedge market risks associated with its obligations under the Instruments. Any such Affiliate
or agent would expect to make a profit in connection with such arrangements. The relevant Issuer
would not seek competitive bids for such arrangements from unaffiliated parties.
Where the Instruments are offered to third parties, as the Dealer(s) and any distributors act pursuant to
a mandate granted by the relevant Issuer and they receive fees on the basis of the services performed
and the outcome of the placement of the Instruments, potential conflicts of interest could arise.
Any additional risk factors relating to additional conflicts of interest with respect to a specific Series of
Instruments will be specified in the applicable Final Terms.
In addition, unless otherwise specified in the applicable Final Terms, the Calculation Agent is an
Affiliate of the relevant Issuer and the Guarantor (if applicable) and in such capacity may make certain
determinations and calculate amounts payable or deliverable to Holders. The Calculation Agent may
make such determinations using data which is not easily obtainable by a Holder of the Instruments.
Under certain circumstances, the Calculation Agent, as an Affiliate of the relevant Issuer and the
Guarantor (if applicable), and its responsibilities as calculation agent for the Instruments could give rise
to potential conflicts of interest between the Calculation Agent and the Holders. As BAC controls the
Calculation Agent, potential conflicts of interest could arise.
In addition, a proprietary index will generally be developed, owned, calculated and maintained by MLI
or a MLI Affiliate, which would be responsible for the composition, calculation and maintenance of
such index. In such circumstances, MLI or the MLI Affiliate, as the case may be, as the index sponsor,
would be under no obligation to take into account the interests of the Holders of any Instruments
46
Risk Factors
referenced by such index. In such capacity as index sponsor, MLI or the MLI Affiliate, as the case
may be, will have the authority to make determinations that could materially and adversely affect the
value of the Instruments.
The secondary market price of the Instruments may be less than the Issue Price
Investors should note that, in certain circumstances immediately following the issue of the Instruments
or at any time prior to maturity, the secondary market price of the Instruments may be less than the
Issue Price, reflecting the fees to be paid to distributor(s) included in the Issue Price, hedging and other
costs for the Instruments, changes to the relevant Issuer's or (if applicable) the Guarantor's credit
spreads and changes in the level of the Reference Item. These factors, together with various credit,
market and economic factors over the term of the Instruments, are expected to reduce the price at
which an investor may be able to sell the Instruments in any secondary market and will affect the value
of the Instruments in complex and unpredictable ways. See also "There may be conflicts of interest
between the relevant Issuer, the Guarantor (if applicable) and/or their respective Affiliates and
Holders" above.
A Holder may not receive the Entitlement relating to a Physical Delivery Instrument if it fails to
deliver the required notice and pay Expenses relating to such Physical Delivery Instrument
In order to receive the Entitlement in respect of a Physical Delivery Note, the holder of such Note must
(i) duly deliver to the Clearing System and/or Paying Agents, as specified in the Final Terms, a duly
completed Asset Transfer Notice on or prior to the relevant time on the Cut-Off Date and (ii) pay the
relevant Expenses. As used in the Conditions, "Expenses" includes any applicable depositary charges,
transaction or exercise charges, stamp duty reserve tax, issue, registration, securities transfer and/or
other taxes arising from the redemption, exercise and settlement (as applicable) of such Instruments
and/or the delivery of the Entitlement.
In order to receive the Entitlement in respect of a Physical Delivery W&C Instrument, the holder of
such W&C Instrument must (i) deliver or send to the Clearing System and/or Paying Agents, as
specified in the Final Terms, (a) a duly completed Exercise Notice on or prior to the relevant time on
the Expiration Date (in the case of a Warrant) or (b) a duly completed Collection Notice on or prior to
the relevant time on the Cut-Off Date (in the case of a Certificate) and (ii) pay the relevant Expenses.
Failure by a Holder properly to complete and deliver an Asset Transfer Notice, Exercise Notice or
Collection Notice, as the case may be, or to procure that its agent does so on its behalf, may result in
such notice being treated as null and void. This may result in a delay in delivery of the Entitlement, or
the relevant Issuer being unable to deliver the Entitlement. Failure to pay the Expenses will have the
same consequences to a Holder.
In the case of Physical Delivery Instruments, settlement may be delayed or made in cash if certain
events arise
In the case of Physical Delivery Instruments (other than Credit Linked Instruments), if a Settlement
Disruption Event occurs or exists on the Maturity Delivery Date (in the case of Notes) or Settlement
Date (in the case of W&C Instruments), settlement will be postponed until the next date on which no
Settlement Disruption Event occurs. The relevant Issuer in these circumstances has the right to pay the
Disruption Cash Settlement Price in lieu of delivering the Entitlement. Such a determination may have
an adverse effect on the value of the relevant Instruments. In addition, if "Failure to Deliver due to
Illiquidity" is specified as applicable in the applicable Final Terms, and in the opinion of the
Calculation Agent it is impossible or impracticable to deliver some or all of the Relevant Assets
comprising the Entitlement when due as a result of illiquidity in the market for the Relevant Assets, the
relevant Issuer has the right to pay the Failure to Deliver Settlement Price in lieu of delivering those
Relevant Assets. Any Disruption Cash Settlement Price or Failure to Deliver Settlement Price may be
significantly less than Holders expected to receive prior to such Settlement Disruption Event or
Calculation Agent determination.
Holders have no claim against any Reference Item(s), and the return on a Reference Item Linked
Instrument, if any, may be less than the return on an investment directly in the Reference Item(s)
An Instrument will not represent a claim against any Reference Item(s) and, in the event of any loss, a
Holder will not have recourse under an Instrument to any Reference Item(s). If a Reference Item is
47
Risk Factors
comprised of the same asset as a Collateral Asset in respect of a Series of Secured W&C Instruments, a
Holder may have recourse to such Collateral Asset under the relevant Secured W&C Instruments (see
the risk factors set out in the section entitled "Risks relating to Secured W&C Instruments"). The
investment return on the Instruments, if any, may be less than a comparable investment directly in the
Reference Item(s), or the components included in any Reference Item(s). In contrast to an investment
in the Instruments, a direct investment in the Reference Item(s) or the components of the Reference
Item(s) would allow an investor to receive the full benefit of any appreciation or depreciation, as the
case may be, in the value of such Reference Item(s) or these components.
The Guarantor has the option to vary settlement under the Non-COSI Guarantee
In relation to Physical Delivery Instruments (other than Secured W&C Instruments), under the NonCOSI Guarantee, the Guarantor has the right at all times to elect not to deliver or procure delivery of
the Entitlement to the holders of Physical Delivery Instruments, but in lieu thereof to pay an amount in
cash equal to the Guaranteed Cash Settlement Amount specified in the applicable Final Terms. Such
cash payment will constitute a complete discharge of the Guarantor's obligations in relation to such
Physical Delivery Instruments.
The relevant Issuer may have the right to vary settlement
If so indicated in the applicable Final Terms, the relevant Issuer has an option to vary settlement in
respect of the Instruments. If exercised by the relevant Issuer, Physical Delivery Instruments may be
cash settled or Cash Settled Instruments may be physically settled. Exercise of such option may affect
the value of the Instruments.
In the case of illegality as determined by the relevant Issuer, and to the extent permitted by
applicable law, the relevant Issuer may redeem or cancel the Instruments, as applicable
If the relevant Issuer determines that the performance of either its obligations under the Instruments or
(in the case of Instruments other than Secured W&C Instruments) the obligations of BAC under the
Guarantee has or will become illegal in whole or in part for any reason, then the relevant Issuer may
redeem or cancel the Instruments, as applicable. Additionally, in the case of W&C Instruments in
respect of which the applicable Final Terms specify that the "LEPW Conditions" shall be applicable,
MLICo. may cancel the relevant W&C Instruments if it determines that (i) after taking commercially
reasonable efforts or steps, MLICo., BAC or any of their respective Affiliates, is unable to comply or
ensure compliance with any applicable laws, rules, regulations, governmental orders, directions or
requirements of governmental or regulatory authorities which are applicable to the relevant W&C
Instruments or are applicable to MLICo., BAC or such relevant Affiliates as a result of having issued
the relevant W&C Instruments, including any requirements as to an investor's eligibility to acquire or
continue to hold the relevant W&C Instruments, or (ii) MLICo., BAC or any of their respective
Affiliates has suffered, will or is likely to suffer regulatory sanction, penalty, reputational harm or other
material adverse consequence in connection with the issuance of the relevant W&C Instruments and/or
the performance of its obligations under the W&C Instruments.
If, in the case of illegality and to the extent permitted by applicable law, the relevant Issuer redeems or
cancels the Instruments, then the relevant Issuer will, in the case of Notes, redeem each Note at the
Early Redemption Amount together (if appropriate) with interest accrued to (but excluding) the date of
redemption, or in the case of W&C Instruments, pay an amount to each Holder determined by
reference to the fair market value of each Instrument, in each case, less hedging costs, which may be
less than the purchase price of the Instruments and may in certain circumstances be zero.
A United States federal withholding tax may be imposed on payments made by the relevant Issuer
with respect to the Instruments to certain holders
A 30 per cent. United States withholding tax may be imposed on certain payments made by a foreign
financial institution that enters into an agreement with the U.S. Department of the Treasury (the "U.S.
Treasury") to collect and provide to the U.S. Treasury substantial information regarding United States
account holders, including certain account holders that are foreign entities with United States owners,
with such institution. An Instrument may constitute an account for these purposes.
Pursuant to U.S. Treasury regulations, the 30 per cent. United States withholding tax may be imposed
on (i) U.S. source payments made by the relevant Issuer or any Paying Agent with respect to the
48
Risk Factors
Instruments and (ii) non-U.S. source payments made after the later of (x) 31 December 2018 and (y)
the date of publication in the U.S. Federal Register of final regulations defining the term "foreign
passthru payment" by the relevant Issuer or any Paying Agent with respect to the Instruments in each
case to "recalcitrant holders", which are generally holders that do not comply with the relevant Issuer's
request for information to enable it to comply with the tax legislation, and to non-compliant foreign
financial institutions. In the event withholding is required under the legislation, neither the relevant
Issuer nor any Paying Agent will pay any additional amounts with respect to the amount so withheld.
A United States withholding tax may be imposed on certain payments made to an Issuer in which
case the relevant Issuer (other than BAC) may be entitled to redeem or cancel the Instruments prior
to maturity
A 30 per cent. United States withholding tax may be imposed on certain United States source payments
made to a foreign financial institution, unless such institution enters into an agreement with the U.S.
Treasury to collect and provide to the U.S. Treasury substantial information regarding United States
account holders, including certain account holders that are foreign entities with United States owners,
with such institution. An Instrument may constitute an account for these purposes.
If the relevant Issuer (other than BAC) determines in good faith that it has, or there is a substantial
likelihood that it will, become subject to withholding imposed on a payment made to it on account of
the relevant Issuer's inability to comply with the newly enacted legislation's reporting requirements
(provided that such inability to comply with the reporting requirements is attributable to noncompliance by any Holder of such Instruments (or a foreign withholding agent (if any) in the chain of
custody of payments made to the Holders) with the relevant Issuer's requests for certifications or
identifying information), it may redeem or cancel the Instruments held by non-compliant and compliant
Holders at their Early Redemption Amount (in the case of Notes) or at their Early Settlement Amount
(in the case of W&C Instruments).
United States federal tax may be withheld from payments with respect to Instruments that are treated
as "dividend equivalents". This may have an adverse effect on the value and liquidity of the
Instruments. In addition, if any payment with respect to Instruments would be treated as a
"dividend equivalent", the relevant Issuer would be entitled to redeem or cancel the Instruments at
any time prior to maturity, settlement, expiration or exercise.
A "dividend equivalent" payment is treated as a dividend from sources within the United States and
such payments generally would be subject to a 30 per cent. United States withholding tax if paid to a
United States Alien holder. Under U.S. Department of the Treasury regulations issued pursuant to
Code Section 871(m), payments with respect to equity-linked instruments ("ELIs") that are "specified
ELIs" may be treated as dividend equivalents if such specified ELIs reference an interest in a U.S.
"underlying security," which is generally any interest in an entity taxable as a corporation for U.S.
federal income tax purposes if a payment with respect to such interest could give rise to a U.S. source
dividend. Specified ELIs generally do not include (1) ELIs issued prior to 1 January 2018 that are not
delta-one instruments, or (2) ELIs that are treated as referencing a “qualified index.” However, it is
possible that Instruments could be treated as deemed reissued for U.S. federal income tax purposes
upon the occurrence of certain events affecting the reference asset or the Instruments, and following
such occurrence the Instruments could be treated as subject to withholding on dividend equivalent
payments.
A qualified index is a passive index that (1) is based on a diverse basket of publicly traded securities,
(2) is widely used by numerous market participants, and (3) meets certain specific requirements set
forth in the applicable Treasury regulations. The qualified index determination is made on the first
business day of the calendar year in which the ELI is issued. If, in connection with the purchase of an
ELI that references an index, a taxpayer enters into one or more transactions that reduce exposure to
components of the index, the ELI is not treated as referencing a qualified index.
If any payments are treated as dividend equivalents subject to withholding, the relevant Issuer (or an
applicable withholding agent) would be entitled to withhold taxes without being required to pay any
additional amounts with respect to amounts so withheld. In that case, actual payments on the
Instruments may be substantially less than the amounts specified in their terms.
49
Risk Factors
In addition, if any payment with respect to the Instruments would be treated as a dividend equivalent,
the relevant Issuer would be entitled to redeem or cancel the Instruments, in whole, but not in part, at
any time prior to maturity, settlement, expiration or exercise at their Early Redemption Amount (in the
case of Notes) or Early Settlement Amount (in the case of W&C Instruments), as determined by the
Calculation Agent in its discretion. These amounts could be significantly less than the holder's initial
investment, and could be as low as zero.
The value of the Instruments could be adversely affected by a change in English law or
administrative practice or by a change in New York law
The Conditions of the Instruments (other than Notes issued by BAC) are based on English law in effect
as at the date of issue of the relevant Instruments. The Conditions of the Notes issued by BAC and
each of the Guarantees are based on the laws of the State of New York in effect as at the date of issue
of the relevant Instruments. No assurance can be given as to the impact of any possible judicial
decision or change to English law or administrative practice or change to the laws of the State of New
York, as applicable, after the date of issue of the relevant Instruments and any such change could
materially adversely impact the value of, or the amounts paid under, any Instruments affected by it.
Regulation and reform of "benchmarks", including LIBOR, EURIBOR and other interest rate,
equity, commodity, foreign exchange rate and other types of benchmarks
The London Inter-Bank Offered Rate ("LIBOR"), the Euro Interbank Offered Rate ("EURIBOR") and
other interest rate, equity, commodity, foreign exchange rate and other types of indices which are
deemed to be "benchmarks" are the subject of recent national, international and other regulatory
guidance and proposals for reform. Some of these reforms are already effective whilst others are still to
be implemented. These reforms may cause such "benchmarks" to perform differently than in the past,
or to disappear entirely, or have other consequences which cannot be predicted. Any such consequence
could have a material adverse effect on any Instruments linked to such a "benchmark".
Key international proposals for reform of "benchmarks" include the International Organisation of
Securities Commissions Principles for Financial Market Benchmarks (July 2013) (the "IOSCO
Benchmark Principles") and Regulation (EU) 2016/1011 on indices used as benchmarks in financial
instruments and financial contracts or to measure the performance of investment funds and amending
Directives 2008/48/EC and 2014/17/EU and Regulation (EU) No 596/2014 (the "Benchmark
Regulation") which was published on the Official Journal on 29 June, 2016 and came into force on 30
June, 2016. The Benchmark Regulation is intended to be implemented in 2018.
The IOSCO Benchmark Principles aim to create an overarching framework of principles for
"benchmarks" to be used in financial markets, specifically covering governance and accountability as
well as the quality and transparency of "benchmark" design and methodologies. A review published by
IOSCO in February 2015 of the status of the voluntary market adoption of the IOSCO Benchmark
Principles noted that, as the "benchmarks" industry is in a state of change, further steps may need to be
taken by IOSCO in the future, but that it is too early to determine what those steps should be. The
review noted that there has been a significant market reaction to the publication of the IOSCO
Benchmark Principles, with widespread efforts being made to implement the IOSCO Benchmark
Principles by the majority of administrators surveyed.
The Benchmark Regulation will apply to "contributors", "administrators" and "users" of "benchmarks"
in the EU, and will, among other things, (i) require benchmark administrators to be authorised (or, if
non-EU-based, to have satisfied certain "equivalence" conditions in its local jurisdiction, to be
"recognised" by the authorities of a Member State pending an equivalence decision or to be "endorsed"
for such purpose by an EU competent authority) and to comply with requirements in relation to the
administration of "benchmarks" and (ii) ban the use of "benchmarks" of unauthorised administrators.
The scope of the Benchmark Regulation is wide and, in addition to so-called "critical benchmark"
indices such as LIBOR and EURIBOR, also potentially applies to many other interest rate indices, as
well as equity, commodity and foreign exchange rate indices and other indices (including "proprietary"
indices or strategies) which are referenced in certain financial instruments (securities or OTC
derivatives listed on an EU regulated market, EU multilateral trading facility (MTF), EU organised
trading facility (OTF) or "systematic internaliser"), certain financial contracts and investment funds.
Different types of "benchmark" are subject to more or less stringent requirements, and in particular a
lighter touch regime may apply where a "benchmark" is not based on interest rates or commodities and
50
Risk Factors
the value of financial instruments, financial contracts or investment funds referring to a benchmark is
less than €50 billion, subject to further conditions.
The Benchmark Regulation, once implemented in 2018, could have a material impact on Instruments
linked to a "benchmark" rate or index, including in any of the following circumstances:

a rate or index which is a "benchmark" could not be used as such if its administrator does not
obtain authorisation or is based in a non-EU jurisdiction which (subject to applicable
transitional provisions) does not satisfy the "equivalence" conditions, is not "recognised"
pending such a decision and is not "endorsed" for such purpose. In such event, depending on
the particular "benchmark" and the applicable terms of the Instruments, the Instruments could
be de-listed, adjusted, redeemed prior to maturity or otherwise impacted; and

the methodology or other terms of the "benchmark" could be changed in order to comply with
the terms of the Benchmark Regulation, and such changes could have the effect of reducing or
increasing the rate or level or affecting the volatility of the published rate or level, and could
lead to adjustments to the terms of the Instruments, including Calculation Agent determination
of the rate or level in its discretion.
Any of the international, national or other proposals for reform or the general increased regulatory
scrutiny of "benchmarks" could increase the costs and risks of administering or otherwise participating
in the setting of a "benchmark" and complying with any such regulations or requirements. Such factors
may have the effect of discouraging market participants from continuing to administer or contribute to
certain "benchmarks", trigger changes in the rules or methodologies used in certain "benchmarks" or
lead to the disappearance of certain "benchmarks". The disappearance of a "benchmark" or changes in
the manner of administration of a "benchmark" could result in adjustment to the terms and conditions,
early redemption, discretionary valuation by the Calculation Agent, delisting or other consequence in
relation to Instruments linked to such "benchmark". Any such consequence could have a material
adverse effect on the value of and return on any such Instruments.
In addition to the international proposals for reform of "benchmarks" described above, there are
numerous other proposals, initiatives and investigations which may impact "benchmarks". For
example, there are ongoing global investigations into the setting of foreign exchange rate
"benchmarks", which may result in further regulation in relation to the setting of foreign exchange
rates. Further, on 22 December 2014, the UK Government confirmed that it will be extending the
legislation originally put in place to cover LIBOR to cover seven additional major UK-based financial
benchmarks in the fixed income, commodity and currency markets ("FICC"). The relevant benchmarks
are:

SONIA (Sterling Overnight Index Average) and RONIA (Repurchase Overnight Index
Average), which both serve as reference rates for overnight index swaps;

WM/Reuters London 4pm Closing Spot Rate, which is the dominant global foreign exchange
benchmark;

ISDAFIX (now ICE Swap Rate), which is the principal global benchmark for swap rates and
spreads for interest rate swap transactions;

London Gold Fixing (now LBMA Gold Price) and the London Silver Fixing (now LBMA
Silver Price), which determine the price of gold and silver in the London market; and

ICE Brent Index, traded on the ICE Futures Europe (IFEU) exchange, which acts as the crude
oil futures market's principal financial benchmark.
The UK Financial Conduct Authority has also released its Financial Benchmarks: Thematic review of
oversight and controls, a review of the activities of firms in relation to a much broader spectrum of
"benchmarks", that ultimately could impact inputs, governance and availability of certain
"benchmarks".
Any of the above changes or any other consequential changes to LIBOR, EURIBOR or any other
"benchmark" as a result of international, national or other proposals for reform or other initiatives or
51
Risk Factors
investigations, could have a material adverse effect on the value of and return on any Instruments
linked to a "benchmark".
Risks Relating to Notes
Events for which acceleration rights under the Notes may be exercised are more limited than those
available pursuant to the terms of the relevant Issuer’s outstanding senior debt securities issued
prior to 1 January 2017.
In response to the TLAC Rules, BAC, among other things, limited the circumstances under which the
payment of the principal amount of senior debt securities (including the BAC Notes issued under the
New York Law Agency Agreement on or after 24 January 2017) can be accelerated by the holders
(unless specified otherwise in the applicable Final Terms). MLBV also limited the circumstances
under which the payment of the principal amount of the MLBV Notes issued under the English Law
Agency Agreement on or after 24 January 2017 can be accelerated by the holders (unless specified
otherwise in the applicable Final Terms).
All or substantially all of BAC’s outstanding senior debt securities issued prior to 1 January 2017, and
including outstanding senior notes issued under the New York Law Agency Agreement prior to 24
January 2017, and MLBV's outstanding senior notes issued prior to 24 January 2017, including
outstanding senior notes issued by MLBV issued under the English Law Agency Agreement prior to
such date (the "Pre-2017 Senior Debt Securities"), provide acceleration rights for non-payment or
bankruptcy. The Pre-2017 Senior Debt Securities issued by BAC also provide acceleration rights if
BAC defaults in the performance of its covenants in those senior debt securities or the applicable
indenture or agency agreement. The Pre-2017 Senior Debt Securities issued by MLBV also provide
acceleration rights if the Guarantor defaults in the performance of its covenants in the applicable NonCOSI Guarantee or the applicable agency agreement. In addition, the Pre-2017 Senior Debt Securities
issued by BAC do not require a 30-day cure period before a non-payment of principal becomes an
event of default and acceleration rights become exercisable with respect to such non-payment.
However, payment of the principal amount of Notes issued on or after 24 January 2017:

may be accelerated only (i) if the relevant Issuer defaults in the payment of the principal of or
interest on those Notes and, in each case, the default continues for a period of 30 days, or (ii)
upon the relevant Issuer’s voluntary or involuntary bankruptcy and, in the case of the relevant
Issuer’s involuntary bankruptcy, the default continues for a period of 60 days; and

may not be accelerated, in the case of BAC Notes, if BAC defaults in the performance of any
other covenants contained in the BAC Notes or the New York Law Agency Agreement; and

may not be accelerated, in the case of MLBV Notes, if the Guarantor defaults in the
performance of any other covenants contained in the Non-COSI Guarantee or the English Law
Agency Agreement.
As a result of these differing provisions, if BAC, in the case of BAC Notes, or the Guarantor, in the
case of MLBV Notes, breaches or otherwise defaults in the performance of a covenant (other than a
payment covenant) that is applicable both to the Notes and the Pre-2017 Senior Debt Securities, the
Pre-2017 Senior Debt Securities would have acceleration rights that would not be available to the
holders of Notes. In addition, if BAC fails to pay principal when due with respect to the BAC Notes
and the Pre-2017 Senior Debt Securities, an event of default would occur immediately with respect to
the Pre-2017 Senior Debt Securities (and the exercise of acceleration rights could proceed immediately
in accordance with the provisions of the New York Law Agency Agreement as in effect at the time of
their issuance), while the holders of the BAC Notes must wait for the 30-day cure period to expire
before such non-payment of principal becomes an Event of Default and any acceleration rights are
triggered with respect to such non-payment. Any repayment of the principal amount of Pre-2017
Senior Debt Securities following the exercise of acceleration rights in circumstances in which such
rights are not available to the holders of the relevant Notes, could adversely affect the relevant Issuer’s
ability to make timely payments on the relevant Notes thereafter.
52
Risk Factors
Failure by a Holder to pay instalments in respect of Partly Paid Notes may result in the Holder
losing all of his investment
BAC or MLBV may issue Notes where the issue price is payable in more than one instalment. Failure
to pay BAC or MLBV, as the case may be, any subsequent instalment could result in a Holder losing
all of his investment.
Notes may be subject to optional redemption by the relevant Issuer, which may limit their market
value
An optional redemption feature of Notes is likely to limit their market value. During any period when
the relevant Issuer may elect to redeem Notes, the market value of those Notes generally will not rise
substantially above the price at which they can be redeemed. This also may be true prior to any
redemption period.
The relevant Issuer may be expected to redeem Notes when its cost of borrowing is lower than the
interest rate on the Notes. At those times, a Holder generally would not be able to reinvest the
redemption proceeds at an effective interest rate as high as the interest rate on the Notes being
redeemed and may only be able to do so at a significantly lower rate. Potential investors should
consider reinvestment risk in light of other investments available at that time.
Notes issued at a substantial discount or premium may be volatile
The market value of Notes issued at a substantial discount from, or premium to, their principal amount
may fluctuate more in relation to general changes in interest rates than do prices for conventional
interest-bearing securities. Generally, the longer the remaining term of the Notes, the greater the price
volatility as compared to conventional interest-bearing securities with comparable maturities.
An insolvency of BAC, as Guarantor of Notes issued by MLBV, will not constitute an event of
default in relation to such Notes
The insolvency of BAC, as Guarantor of the Notes issued by MLBV, does not constitute an event of
default under the terms and conditions of such Notes. In the event that BAC becomes insolvent (but
MLBV remains solvent), the Holders will not be able to declare the Notes to be immediately due and
repayable due to BAC's insolvency. Instead, the Holders will need to wait until the earlier of (i) the
occurrence of one of the other events of default under the terms and conditions of the Notes issued by
MLBV (which includes the insolvency of MLBV) and (ii) the final maturity of the Notes. A Holder
may therefore receive a significantly lower return on the Notes than it would have otherwise received
had the Holders been able to declare the Notes issued by MLBV immediately due and repayable upon
the insolvency of BAC.
Risks Relating to W&C Instruments
Certain factors affecting the value and trading price of W&C Instruments
Either (1) in the case of Cash Settled W&C Instruments, the Cash Settlement Amount or (2) in the case
of Physical Delivery W&C Instruments, the value of the Entitlement less (in the case of Warrants) the
Exercise Price (the "Physical Settlement Value") at any time prior to expiration (in the case of a
Warrant) or exercise (in the case of a Certificate) is typically expected to be less than the trading price
of such W&C Instruments at that time. The difference between the trading price and the Cash
Settlement Amount or the Physical Settlement Value, as the case may be, will reflect, among other
things, the "time value" of the W&C Instruments. The "time value" of the W&C Instruments will
depend partly upon the length of the period remaining to expiration (in the case of a Warrant) or
exercise (in the case of a Certificate) and expectations concerning the price or level of the Reference
Item(s). W&C Instruments offer hedging and investment diversification opportunities but also pose
some additional risks with regard to interim value. The interim value of the W&C Instruments varies
with the price or level of the Reference Item(s), as well as by a number of other interrelated factors,
including those specified herein.
Before exercising W&C Instruments, Holders should carefully consider, among other things, (i) the
trading price of the W&C Instruments, (ii) the price or level and volatility of the Reference Item(s), (iii)
the time remaining to expiration (in the case of a Warrant) or exercise (in the case of a Certificate), (iv)
53
Risk Factors
in the case of Cash Settled W&C Instruments, the probable range of Cash Settlement Amounts, (v) any
change(s) in interim interest rates and dividend yields if applicable, (vi) any change(s) in currency
exchange rates and (vii) any related transaction costs.
An optional exercise or mandatory early exercise feature in W&C Instruments is likely to limit their
market value. In the case of an optional exercise feature, during any period when the relevant Issuer
may elect to exercise W&C Instruments, the market value of those W&C Instruments generally will
not rise substantially above the price at which they can be exercised. This also may be true prior to any
exercise period. In the case of a mandatory early exercise feature, if the relevant Mandatory Early
Exercise Event occurs the W&C Instruments will be exercised prior to their originally designated
exercise or expiration date. Potential investors should be aware that in certain circumstances, an
optional exercise or mandatory early exercise of the W&C Instruments by the relevant Issuer may
result in a loss of all or a substantial portion of their investment.
In the case of Secured W&C Instruments, the market value of the Secured W&C Instruments will be
affected by, among other things, the Collateral Assets which secure the relevant Series of W&C
Instruments.
There are no Events of Default in relation to W&C Instruments other than Secured W&C
Instruments
Other than in respect of Secured W&C Instruments, the Conditions of the W&C Instruments do not
provide for any events of default. If the relevant Issuer defaults on any obligation under the W&C
Instruments prior to the Settlement Date, Holders of Instruments other than Secured W&C Instruments
will be able to claim against the Guarantor under the relevant Guarantee, but will have no right to
declare all of the remaining obligations of the relevant Issuer in respect of the relevant Series of W&C
Instruments to be immediately due and payable.
Risks Relating to Warrants
There will be a time lag between the time a Holder gives instructions to exercise and the time the
applicable Cash Settlement Amount relating to such exercise is determined, and such time lag could
decrease the Cash Settlement Amount
In the case of any exercise of Warrants, there will be a time lag between the time a Holder gives
instructions to exercise and the time the applicable Cash Settlement Amount (in the case of Cash
Settled Warrants) relating to such exercise is determined. Any such delay between the time of exercise
and the determination of the Cash Settlement Amount will be specified in the Conditions of the W&C
Instruments. However, such delay could be significantly longer, particularly in the case of a delay in
exercise of Warrants arising from any daily maximum exercise limitation (in the case of American
Style Warrants), the occurrence of a Market Disruption Event or failure of an exchange or related
exchange to open (if applicable) or following the imposition of any exchange controls or other similar
regulations affecting the ability to obtain or exchange any relevant currency in the case of FX Linked
Warrants or other Warrants in respect of which "Exchange Rate" is specified to be applicable in the
applicable Final Terms. The applicable Cash Settlement Amount may change significantly during any
such period between exercise and determination of the Cash Settlement Amount, and such movement
or movements could decrease the Cash Settlement Amount of the Warrants being exercised and may
result in such Cash Settlement Amount being zero.
Holders may have to tender a specified number of Warrants at any one time in order to exercise
If so indicated in the applicable Final Terms, a Holder must tender or hold a specified number of
Warrants at any one time in order to exercise. Thus, Holders with fewer than the specified minimum
number of Warrants will either have to sell their Warrants or purchase additional Warrants, incurring
transaction costs in each case, in order to realise their investment. Furthermore, holders of such
Warrants incur the risk that there may be differences between the trading price of such Warrants and
the Cash Settlement Amount (in the case of Cash Settled Warrants) or the Physical Settlement Value
(in the case of Physical Delivery Warrants) of such Warrants. Therefore it may cost an investor more
to purchase additional Warrants than the value of the increase in the Cash Settlement Amount or
Physical Settlement Value, as the case may be, attributable to such additional Warrants.
54
Risk Factors
The number of American Style Warrants exercisable on any date other than the Expiration Date
may be limited to a maximum number
In the case of American Style Warrants, if so indicated in the applicable Final Terms, the relevant
Issuer will have the option to limit the number of American Style Warrants exercisable on any date
(other than the Expiration Date) to the maximum number specified in the applicable Final Terms and,
in conjunction with such limitation, to limit the number of American Style Warrants exercisable by any
person or group of persons (whether or not acting in concert) on such date. In the event that the total
number of American Style Warrants being exercised on any date (other than the Expiration Date)
exceeds such maximum number and the relevant Issuer elects to limit the number of American Style
Warrants exercisable on such date, a Holder may not be able to exercise on such date all American
Style Warrants that such Holder desires to exercise. In any such case, the number of American Style
Warrants to be exercised will be reduced until the total number of American Style Warrants exercised
on that date no longer exceeds the maximum, such American Style Warrants being selected at the
discretion of the relevant Issuer or in any other manner specified in the applicable Final Terms. Unless
otherwise specified in the applicable Final Terms, the American Style Warrants tendered for exercise
but not exercised on such date will be automatically exercised on the next date on which American
Style Warrants may be exercised, subject to the same daily maximum limitation and delayed exercise
provisions.
Transfers of Rule 144A Warrants are restricted
Issue and transfers of Rule 144A Warrants may be made only to purchasers in the United States or to,
or for the account or benefit of, United States Persons that have executed and delivered an Investor
Representation Letter for the benefit of the Dealer, MLICo. and the Guarantor pursuant to which such
purchaser must certify, among other things, that such purchaser is a QIB who is also a QP. A transfer
or attempted transfer of any Rule 144A Warrant which does not comply with the applicable transfer
restrictions shall be absolutely null and void ab initio and shall vest no rights in the purported
transferee.
Risks Relating to Swiss COSIs
Risks relating to collateralisation
Collateralisation eliminates the issuer default risk only to the extent that the proceeds from the
liquidation of collateral upon occurrence of a Liquidation Event (less the costs of liquidation and
payout) are able to meet the investors' claims. The investor bears the following risks, among others: (i)
the Swiss COSI Collateral Provider is unable to supply the additionally required collateral if the value
of the Swiss COSIs rises or the value of the collateral decreases; (ii) in a Liquidation Event, the
collateral cannot be liquidated immediately by SIX Swiss Exchange because of factual hindrances or
because the collateral must be handed over to the executory authorities for liquidation; (iii) the market
risk associated with the collateral results in insufficient liquidation proceeds or, in extreme
circumstances, the collateral might lose its value entirely before the liquidation can take place; (iv) the
settlement of Swiss COSIs in a foreign currency according to the Framework Agreement may result in
losses for the investor because the Current Value (determinant for the investor's claim against the
Issuer) is set in the foreign currency, while payment of the pro-rata share of net liquidation proceeds
(determinant for the extent to which the investor's claim against the Issuer is satisfied) is made in Swiss
francs; (v) the collateralisation is challenged according to the laws governing debt enforcement and
bankruptcy, so that the collateral cannot be liquidated according to the terms of the Framework
Agreement for the benefit of the investors in Swiss COSIs.
Additional information
The costs for the service provided by SIX Swiss Exchange with respect to the collateralisation of Swiss
COSIs may be taken into account for the pricing of Swiss COSIs and may therefore be borne by the
investors, as the case may be. With regard to the payment of the pro-rata share of the net liquidation
proceeds, the investor shall bear the solvency risks of SIX Swiss Exchange and the financial
intermediaries along the payout chain. The payment to the investors may be delayed for factual or
legal reasons. To the extent the calculation of the Current Value of Swiss COSIs proves to be
incorrect, the collateralisation of the Swiss COSIs may be insufficient.
55
Risk Factors
Risks Relating to the Market Generally
Set out below is a brief description of the principal market risks, including liquidity risk, exchange rate
risk, interest rate risk and credit risk that may have an impact on an investment in the Instruments.
Many factors will determine the price of the Instruments in the secondary market and such market
may be illiquid
It is not possible to predict the price at which Instruments will trade in the secondary market or whether
such market will be liquid or illiquid. Each Issuer may, but is not obliged to, list or admit to trading an
issue of Instruments on a stock exchange or market. If the Instruments are not listed or admitted to
trading on any stock exchange or market, pricing information for the Instruments may be more difficult
to obtain and the liquidity of the Instruments may be adversely affected. If the relevant Issuer does list
or admit to trading an issue of Instruments, there can be no assurance that at a later date, the
Instruments will not be delisted or that trading on such stock exchange or market will not be
suspended. In the event of a de-listing or suspension of listing or trading on a stock exchange or
market, the relevant Issuer will use its reasonable efforts to list or admit to trading the Instruments on
another stock exchange or market, unless it concludes it would be unduly burdensome to do so. Also,
in the case of American Style Warrants to the extent Warrants of a particular issue are exercised, the
number of Warrants of such issue outstanding will decrease, resulting in a diminished liquidity for the
remaining Warrants of such issue. A decrease in the liquidity of an issue of Warrants may cause, in
turn, an increase in the volatility associated with the price of such issue of Warrants.
The relevant Issuer cannot assure holders of the Instruments that a trading market for their Instruments
will ever develop or be maintained. The market for, and market value of, the Notes may be affected by
a number of factors. These factors include:
(a)
the complexity and volatility of the Reference Item(s) or formula or other basis of reference
applicable to the Instruments;
(b)
the method of calculating amounts payable, including any dividend rates or yield or other
securities or financial instruments applicable to the securities payable and/or deliverable, or
other consideration, if any, in respect of the Instruments;
(c)
the time remaining to the expiration (in the case of Warrants), exercise (in the case of
Certificates) or redemption (in the case of Notes) of the Instruments;
(d)
the aggregate amount or number of Instruments outstanding;
(e)
the redemption, repayment or settlement features of the Instruments;
(f)
the value of other securities linked to the Reference Item(s) or formula or other basis of
reference applicable to the Instruments;
(g)
the level, direction and volatility of market interest rates generally;
(h)
the general economic conditions of the capital markets, as well as geopolitical conditions and
other financial, political, regulatory and judicial events that affect the financial markets
generally, may affect the value of the Reference Item(s) and the Instruments;
(i)
any market-making activities with respect to the Instruments; and
(j)
the possibility that investors may be unable to hedge their exposure to risks relating to their
Instruments.
In addition, certain Instruments may be designed for specific investment objectives or strategies and,
therefore, may have a more limited secondary market and experience more price volatility. Holders
may not be able to sell such Instruments readily or at prices that will enable them to realise their
anticipated yield. No investor should purchase Instruments unless such investor understands and is
able to bear the risk that such Instruments may not be readily saleable, that the value of such
Instruments will fluctuate over time, that such fluctuations may be significant and that such investor
may lose all or a substantial portion of the purchase price of the Instruments.
56
Risk Factors
The relevant Issuer, the Guarantor (if applicable), or any of BAC's Affiliates may, but is not obliged to,
at any time purchase Instruments at any price in the open market or by tender or private treaty for their
own account for business reasons or in connection with their hedging arrangements. Any Instruments
so purchased may be held or resold or surrendered for cancellation. The relevant Issuer, the Guarantor
(if applicable), or any of BAC's Affiliates may, but is not obliged to, be a market-maker for an issue of
Instruments. Even if the relevant Issuer or such other entity is a market-maker for an issue of
Instruments, the secondary market for such Instruments may be limited. These activities may affect the
price of such obligations or securities in a manner that would be adverse to a Holder's investment in the
Instruments. The relevant Issuer, the Guarantor (if applicable) and BAC's Affiliates have not
considered, and are not required to consider, the interests of investors as Holders in connection with
entering into any of the above mentioned transactions.
To the extent that an issue of Instruments is or becomes illiquid, an investor may have to exercise such
Instruments (in the case of American Style Warrants) or wait until the Exercise Date (in the case of
European Style Warrants or Certificates) or the Maturity Date (in the case of Notes) of such
Instruments to realise value.
Investors may be subject to foreign exchange exposure and the Instruments may become subject to
exchange controls
In the case of Cash Settled Instruments, the relevant Issuer will pay the Cash Settlement Amount (in
the case of W&C Instruments) or Final Redemption Amount (in the case of the Notes) in respect of the
Instruments in the Settlement Currency or Specified Currency specified in the applicable Final Terms.
This presents certain risks relating to currency conversions if an investor's financial activities are
denominated principally in a currency or currency unit (the "Investor's Currency") other than the
Settlement Currency or Specified Currency, as applicable (the "Settled Currency"). These include the
risk that exchange rates may significantly change (including changes due to devaluation of the Settled
Currency or revaluation of the Investor's Currency) and the risk that authorities with jurisdiction over
the Investor's Currency may impose or modify exchange controls. An appreciation in the value of the
Investor's Currency relative to the Settled Currency would decrease (i) the Investor's Currencyequivalent yield on the Instruments, (ii) the Investor's Currency equivalent value of the Cash Settlement
Amount or Final Redemption Amount (as applicable) in respect of the Instruments and (iii) the
Investor's Currency equivalent market value of the Instruments.
Government and monetary authorities may impose exchange controls (as some have done in the past)
that could adversely affect an applicable exchange rate. As a result, the Cash Settlement Amount (in
the case of Cash Settled W&C Instruments) or the Final Redemption Amount (in the case of Notes)
that investors may receive may be less than expected or zero.
In certain circumstances the relevant Issuer will not be obliged to maintain the listing of
Instruments which are specified as being listed in the applicable Final Terms
When the relevant Issuer specifies in the applicable Final Terms that a Series of Instruments is to be
admitted to trading on the Euro MTF market operated by the Luxembourg Stock Exchange and
admitted to listing on the Official List of the Luxembourg Stock Exchange and/or listed or admitted to
trading by any other relevant stock exchange or market, the relevant Issuer expects, but is not obliged,
to maintain such listing of the Instruments on such exchange(s) or market(s). Changed circumstances,
including changes in listing requirements, could result in a suspension or removal of any such listing,
or cause the relevant Issuer to conclude that continued listing of the Instruments on such exchange(s) or
market(s) is unduly burdensome.
Legal investment considerations may restrict certain investments
The investment activities of certain investors are subject to legal investment laws and regulations, or
review or regulation by certain authorities. Each potential investor should consult its legal advisers to
determine whether and to what extent (i) Instruments are legal investments for it, (ii) Instruments can
be used as collateral for various types of borrowing and (iii) other restrictions apply to its purchase or
pledge of any Instruments. Financial institutions should consult their legal advisers or the appropriate
regulators to determine the appropriate treatment of Instruments under any applicable risk-based capital
or similar rules.
57
Risk Factors
Risks Relating to the Structure of a Particular Issue of Instruments
A wide range of Instruments may be issued under the Programme. A number of these Instruments may
have features which contain particular risks for potential investors. Set out below is a description of
the most common features.
General risks relating to Reference Item Linked Instruments
Reference Item Linked Instruments will represent an investment linked to the economic performance of
the relevant Reference Item(s) and potential investors should note that the return (if any) on their
investment in such Instruments will depend upon the performance of such Reference Item(s). Potential
investors should also note that whilst the market value of such Instruments is linked to such Reference
Item(s) and will be influenced (positively or negatively) by such Reference Item(s), any change in the
market value of such Instruments may not be comparable to changes in the market value of the
Reference Item(s). It is impossible to predict how the market value of the relevant Reference Item(s)
will vary over time. In addition, in contrast to a direct investment in the relevant Reference Item(s),
such Instruments represent the right to receive payment or delivery, as the case may be, of the Cash
Settlement Amount(s), the Final Redemption Amount(s) or the Entitlement, as the case may be, as well
as periodic payments of interest or additional amounts (if specified in the applicable Final Terms), all
or some of which and the value of which will be determined by reference to the performance of the
relevant Reference Item(s) but which are likely to differ from and may be less than the return on a
direct investment in the same Reference Items(s).
As the amounts payable and/or non-cash consideration deliverable in respect of Reference Item Linked
Instruments are linked to the performance of the relevant Reference Item(s), a purchaser of such an
Instrument must generally be correct about the direction, timing and magnitude of an anticipated
change in the value of the relevant Reference Item(s). Assuming all other factors are held constant, the
lower the value of such an Instrument and the shorter the remaining term to expiration (in the case of a
Warrant), exercise (in the case of a Certificate) or redemption (in the case of a Note), the greater the
risk that purchasers of such Instrument will lose all or part of their investment.
Reference Item Linked Instruments may be principal protected or non-principal protected. Investors in
Reference Item Linked Instruments that are non-principal protected may risk losing their entire
investment if the value of the relevant Reference Item(s) does not move in the anticipated direction.
Whether or not an Instrument is principal protected, all payments on such Instrument are subject to the
relevant Issuer's and (if applicable) the Guarantor's credit risk and their respective ability to pay their
relevant obligations on the applicable payment dates.
POTENTIAL INVESTORS MUST REVIEW THE APPLICABLE FINAL TERMS TO
ASCERTAIN WHAT THE RELEVANT REFERENCE ITEM(S) ARE AND TO SEE HOW
THE CASH SETTLEMENT AMOUNT, FINAL REDEMPTION AMOUNT OR THE
ENTITLEMENT, AS THE CASE MAY BE, AND ANY INTEREST PAYMENTS (IN THE
CASE OF NOTES) OR ANY ADDITIONAL AMOUNT PAYMENTS (IN THE CASE OF W&C
INSTRUMENTS) ARE DETERMINED AND WHEN SUCH AMOUNTS ARE PAYABLE
AND/OR DELIVERABLE, AS THE CASE MAY BE, BEFORE MAKING ANY DECISION TO
PURCHASE ANY INSTRUMENTS.
Risks relating to Instruments which are linked to emerging market Reference Item(s)
Where the terms and conditions of the Instruments reference one or more emerging market Reference
Item(s), investors in such Instruments should be aware that the political and economic situation in
countries with emerging economies or stock markets may be undergoing significant evolution and
rapid development, and such countries may lack the social, political and economic stability
characteristics of more developed countries, including a significant risk of currency value fluctuation.
Such instability may result from, among other things, authoritarian governments, or military
involvement in political and economic decision-making, including changes or attempted changes in
governments through extra-constitutional means; popular unrest associated with demands for improved
political, economic or social conditions; internal insurgencies; hostile relations with neighbouring
countries; and ethnic, religious and racial disaffections or conflict. Certain of such countries may have
in the past failed to recognise private property rights and have at times nationalised or expropriated the
assets of private companies. As a result, the risks from investing in those countries, including the risks
58
Risk Factors
of nationalisation or expropriation of assets, may be heightened. In addition, unanticipated political or
social developments may affect the values of a Reference Item investment in those countries. The
small size and inexperience of the securities markets in certain countries and the limited volume of
trading in securities may make the emerging market Reference Item(s) illiquid and more volatile than
investments in more established markets. There may be little financial or accounting information
available with respect to local issuers, and as a result it may be difficult to assess the value or prospects
of the Reference Item(s).
The relevant Issuer may redeem early or settle a Series of Instruments if an Additional Disruption
Event occurs, causing the investor to lose some or all of its investment in such Series of Instruments
If Additional Disruption Events are specified as applicable in the Final Terms for the applicable Series
of Instruments of the relevant Issuer, and one or more Additional Disruption Event occurs with respect
to that Series of Instruments, the relevant Issuer may, in its sole and absolute discretion, cause the early
redemption or settlement of such Series of Instruments in accordance with the applicable Conditions.
If the relevant Issuer elects to redeem early or settle the Instruments as a result of an Additional
Disruption Event, the amount payable or other consideration deliverable to the Holders may be
significantly less than the investor's initial investment, and may be as low as zero. Additional
Disruption Events include, among others, as specified in the applicable Final Terms and described in
the applicable Conditions, (1) Change in Law, (2) Increased Cost of Hedging and (3) Hedging
Disruption.
Risks associated with baskets comprised of various components as Reference Items
Exposure to performance of basket and its components
Where the Instruments are linked to or reference a basket of assets, the investors in such Instruments
are exposed to the performance of such basket. The investors will bear the risk of the performance of
each of the basket components. See, as applicable, the risk factors set out in the sections entitled
"Risks relating to Index Linked Instruments", "Risks relating to Share Linked Instruments", "Risks
relating to GDR/ADR Linked Instruments", "Risks relating to FX Linked Instruments and other
Instruments in respect of which "Exchange Rate" is specified to be applicable", "Risks relating to
Commodity Linked Instruments", "Risks relating to Fund Linked Instruments", "Risks relating to
Inflation Linked Instruments", "Risks relating to Credit Linked Instruments" and "Risks relating to
Saudi Share Linked Warrants".
A high correlation of basket components may have a significant effect on amounts payable
Some Instruments are linked to baskets of Reference Items where the performance of such Reference
Items tends to move in the same direction, or correlate, as a result of changes in market conditions,
such as a change in interest rates. Correlation of basket components indicates the level of
interdependence among the individual basket components with respect to their performance. If, for
example, all of the basket components originate from the same sector and the same country, a high
positive correlation may generally be assumed. Past rates of correlation may not be determinative of
future rates of correlation: investors should be aware that, though basket components may not appear to
be correlated based on past performance, it may be that they suffer the same adverse performance
following a general downturn or other economic or political event. Where the basket components are
subject to high correlation, any move in the performance of the basket components will exaggerate the
performance of the Instruments.
The negative performance of a single basket component may outweigh a positive performance of one
or more other basket components
Investors in Instruments must be aware that even in the case of a positive performance of one or more
basket components, the performance of the basket as a whole may be negative if the performance of the
other basket components is negative to a greater extent, subject to the Conditions of the relevant
Instruments.
59
Risk Factors
A small basket, or an unequally weighted basket, will generally leave the basket more vulnerable to
changes in the value of any particular Reference Item
The performance of a basket that includes a smaller number of Reference Items will generally, subject
to the terms and conditions of the relevant Instruments, be more affected by changes in the value of any
particular Reference Item included therein than a basket that includes a greater number of Reference
Items.
The performance of a basket that gives greater weight to some Reference Items will generally, subject
to the terms and conditions of the relevant Instruments, be more affected by changes in the value of any
such particular Reference Item included therein than a basket that gives relatively equal weight to each
Reference Item.
A change in composition of a basket may have an adverse effect on basket performance
Where the Instruments grant the Calculation Agent the right, in certain circumstances, to adjust the
composition of the basket, investors should be aware that any replacement basket component may
perform differently from the original basket component, which may have an adverse effect on the
performance of the basket which will in turn have an adverse effect on the value of the Instruments.
Risks relating to Instruments linked to certain References Item(s)
Risks relating to Index Linked Instruments
Factors affecting the performance of Indices may adversely affect the value of the Instruments
Indices are comprised of a synthetic portfolio of shares, bonds, currency exchange rates, commodities,
property or other assets, and as such, the performance of an Index is dependent upon the performance
of components of such Index, which may include interest rates, currency developments, political
factors, market factors such as the general trends in capital markets or broad based indices and (in the
case of shares) company-specific factors such as earnings position, market position, risk situation,
shareholder structure and distribution policy. If an Index does not perform as expected, this will
materially and adversely affect the value of Index Linked Instruments.
Returns on the Instruments do not reflect a direct investment in underlying shares or other assets
comprising the Index
The return payable on Instruments that reference Indices may not reflect the return a potential investor
would realise if it actually owned the relevant assets comprising the components of the Index or owned
a different form of interest in the relevant Index. For example, if the components of the Indices are
shares, Holders will not receive any dividends paid or distributions made on those shares and will not
participate in the return on those dividends or distributions unless the relevant Index takes such
dividends into account for purposes of calculating the relevant level. Similarly, Holders will not have
any voting rights in the underlying shares or any other assets which may comprise the components of
the relevant Index. Accordingly, Holders of Instruments that reference Indices as Reference Items may
receive a lower payment upon redemption/settlement of such Instruments than any return such Holder
would have received if it had invested in the components of the Index directly or other comparable
instruments linked to the Index.
A change in the composition or discontinuance of an Index could adversely affect the market value
of the Instruments
The sponsor of any Index can add, delete or substitute the components of such Index or make other
methodological changes that could change the level of one or more components. The changing of
components of any Index may affect the level of such Index as a newly added component may perform
significantly worse or better than the component it replaces, which in turn may affect the payments
made by the relevant Issuer to the Holders of the Index Linked Instruments. The sponsor of any such
Index may also alter, discontinue or suspend calculation or dissemination of such Index. The sponsor
of an Index will have no involvement in the offer and sale of the Index Linked Instruments and will
have no obligation to any Holder of such Instruments. Accordingly, the sponsor of an Index may take
any actions in respect of such Index without regard to the interests of the Holder of the Instruments,
and any of these actions could adversely affect the market value of the Index Linked Instruments.
60
Risk Factors
The substitution of an Index with a Successor Index could adversely affect the market value of the
Instruments
Upon notification by the relevant Issuer to the Calculation Agent that any payment (or deemed
payment as determined for United States tax purposes) may be treated as a dividend or "dividend
equivalent" for United States tax purposes (a "U.S. Withholding Tax Event"), the relevant Issuer may,
at its option, upon notification to the Calculation Agent that it wishes to substitute a Successor Index
for the relevant Index (an "Index Substitution Event"), effect such Index Substitution Event and, in
the case of Notes, not redeem the Notes early pursuant to Note Condition 7 (Redemption and Purchase)
or, in the case of W&C Instruments, not cancel the W&C Instruments pursuant to W&C Instruments
Condition 8 (Cancellation for Tax Reasons and Tax Compliance Reasons). With respect to a relevant
Index, a "Successor Index" includes an index that uses, in the determination of the Calculation Agent,
the same or a substantially similar formula for and method of calculation as used in the calculation of
that Index. Such a substitution could adversely affect the market value and the performance of the
Index Linked Instruments.
Exposure to Index Modification, Index Cancellation, Index Disruption and correction of Index
levels
The Calculation Agent has broad discretion to make certain determinations and adjustments, to replace
the original Reference Item with another and/or to cause early redemption/settlement of the
Instruments, any of which may be adverse to Holders in connection with Index Modification, Index
Cancellation, and Index Disruption. The Calculation Agent may determine that the consequence of any
such event is to make adjustments to the Instruments, or to replace such Index with another or to cause
early redemption/settlement of the Instruments. The Calculation Agent may (subject to the terms and
conditions of the relevant Instruments) also amend the relevant Index level due to corrections in the
level reported by the Index Sponsor. The consequences of such amendments could adversely affect the
market value of the Index Linked Instruments.
There are additional risks in relation to "Proprietary Indices" or "Strategies"
See "There may be conflicts of interest between the relevant Issuer, its Affiliates and the Holders"
above.
There are additional risks in relation to Commodity Indices
See "Additional risks in relation to the "rolling" of commodity futures contracts (including commodity
futures contracts which are Components of a Commodity Index)" below.
Specific risks relating to Index Linked Instruments in respect of which the applicable Final Terms
specify that the "LEPW Conditions" shall be applicable
Holders of Index Linked Instruments in respect of which the applicable Final Terms specify that the
"LEPW Conditions" shall be applicable should note that all payments made by the relevant Issuer will
be made subject to deductions to account for any costs and taxes which a hypothetical broker dealer,
directly or indirectly, could incur in connection with any hedging arrangements which such
hypothetical broker dealer could make in order to hedge such Index Linked Instruments.
Instruments are not sold or promoted by an Index or the sponsor of such Index
Instruments linked to an Index are not sponsored, endorsed, sold, or promoted by such Index or the
sponsor of such Index. The sponsor of an Index makes no representation whatsoever, whether express
or implied, either as to the results to be obtained from the use of such Index or the levels at which such
Index stands at any particular time on any particular date. Neither an Index nor sponsor of such Index
shall be liable (whether in negligence or otherwise) to any person for any error in such Index. A
sponsor of an Index is under no obligation to advise any person of any error in such Index. A sponsor
of an Index does not make any representation whatsoever, whether express or implied, as to the
advisability of investing or assuming any risk in connection with the Instruments linked to such Index.
The relevant Issuer, BAC and BAC's Affiliates are not liable for the actions or omissions of the
sponsor of an Index, any information concerning an Index, the performance of such Index or use
thereof in connection with the Instruments
61
Risk Factors
None of the relevant Issuer, BAC and any of BAC's Affiliates is liable to the Holders of Instruments for
any act or failure to act by a sponsor of an Index in connection with the calculation, adjustment, or
maintenance of such Index. Although the Calculation Agent will obtain information concerning an
Index from publicly available sources it believes reliable, it will not independently verify this
information. Accordingly, no representation, warranty, or undertaking (express or implied) is made and
no responsibility is accepted by the relevant Issuer, BAC, any of BAC's Affiliates or the Calculation
Agent as to the accuracy, completeness, and timeliness of information concerning such Index. In
addition, none of the relevant Issuer, BAC, any of BAC's Affiliates and the Calculation Agent makes
any representation whatsoever, whether express or implied, as to the performance of any Index which
is linked to the Instruments, any data included in, or omitted from, such Index, or the use of such Index
in connection with the Index Linked Instruments.
Risks relating to Share Linked Instruments
No issuer of the relevant Share(s) will have participated in the preparation of the applicable Final
Terms or in establishing the terms of the Share Linked Instruments
No Share Company or Companies will have participated in the preparation of the applicable Final
Terms or in establishing the terms of the Share Linked Instruments and none of the relevant Issuer, the
Guarantor (if applicable) and any Dealer will make any investigation or enquiry in connection with
such offering with respect to any information concerning any such Share Company or Companies
contained in such Final Terms or in the documents from which such information was extracted.
Neither the relevant Issuer nor the Guarantor (if applicable) controls any Share Company or Companies
and are not responsible for any disclosure made by any Share Company or Companies. Consequently,
there can be no assurance that all events occurring prior to the relevant issue date (including events that
would affect the adequacy, accuracy or completeness of the publicly available information described in
this paragraph or in any applicable Final Terms) that would affect the trading price of the relevant
Share(s) will have been publicly disclosed. Subsequent disclosure of any such events or the disclosure
of or failure to disclose material future events concerning such Share Company or Companies could
affect the trading price of the Share(s) and therefore the trading price of the Instruments or amounts
paid or delivered under the Instruments.
Factors affecting the performance of Shares may adversely affect the value of the Share Linked
Instruments
The performance of Shares is dependent upon macroeconomic factors, such as interest and price levels
on the capital markets, currency developments, political factors and company-specific factors such as
earnings position, market position, risk situation, shareholder structure and distribution policy. These
factors are not within the relevant Issuer's or (if applicable) the Guarantor's control and may result in a
decline in the value of the Instruments.
Holders have no claim against the Share Company or Companies or recourse to the Shares
Share Linked Instruments do not represent a claim against or an investment in any Share Company or
Companies and investors will not have any right of recourse under the Share Linked Instruments to any
such company or the Shares. Share Linked Instruments are not in any way sponsored, endorsed or
promoted by any Share Company or Companies and such companies have no obligation to take into
account the consequences of their actions for any Holders. Accordingly, the Share Company or
Companies may take any actions in respect of such Share without regard to the interests of the
investors in the Share Linked Instruments, and any of these actions could adversely affect the market
value of the Share Linked Instruments.
Determinations made by the Calculation Agent in respect of Potential Adjustment Events, Merger
Events, Tender Offers, De-listings, Nationalisations, Announcement Events, Insolvencies and
Additional Disruption Events may have an adverse effect on the value of the Share Linked
Instruments
Upon determining that a Potential Adjustment Event, Merger Event, Tender Offer, De-listing,
Nationalisation, Announcement Event, Insolvency or Additional Disruption Event has occurred in
relation to an underlying Share or Share Company, the Calculation Agent has broad discretion to make
certain determinations to account for such event including to (i) make adjustments to the terms of the
62
Risk Factors
Share Linked Instruments and/or (ii) (in the case of a Merger Event, Tender Offer, De-listing,
Nationalisation, Announcement Event, Insolvency or Additional Disruption Event) cause early
redemption/settlement of the Share Linked Instruments, any of which determinations may have an
adverse effect on the value of the Share Linked Instruments. In particular, in the event that the Share
Linked Instruments are early settled/redeemed, the amount payable to Holders may be significantly less
than the investor's initial investment, and may be as low as zero.
If Announcement Event is specified to be applicable, the Calculation Agent may exercise the broad
discretions described in the paragraph above based on a public announcement by the Share Company
or a third party of an intention to take an action or enter into a transaction that would, if taken or
consummated prior to final valuation of the Share Linked Instruments, constitute a Merger Event,
Tender Offer, De-Listing or Nationalisation, regardless of whether the action or transaction is taken or
consummated prior to final valuation of the Share Linked Instruments or at all.
Potential Adjustment Events include (a) a sub-division, consolidation or re-classification of the Shares,
(b) an extraordinary dividend, (c) a call of the Shares that are not fully paid, (d) a repurchase by the
Share Company, or an affiliate thereof, of the Shares, (e) a separation of rights from the Shares or (f)
any event having a dilutive or concentrative effect on the value of the Shares. Additional Disruption
Events include (1) a change in applicable law since the Trade Date that makes it illegal to hold, acquire
or dispose of the Shares or more expensive for the relevant Issuer to hedge its obligations under the
relevant Share Linked Instruments, (2) an insolvency filing by or on behalf of any issuer of the relevant
Share(s), (3) Increased Cost of Hedging and (4) Hedging Disruption.
Holders may receive physical delivery of Shares in lieu of payment of cash amounts
Where the Share Linked Instruments include the right of the relevant Issuer, subject to the fulfilment of
a particular condition, to redeem the Share Linked Instruments at their maturity by delivering Shares to
the investor, the investors will receive such Shares rather than a monetary amount upon maturity.
Holders will, therefore, be exposed to the Share Company or Companies and the risks associated with
such Shares. The investor should not assume that he or she will be able to sell such Shares for a
specific price after the redemption/settlement of the Instruments, and in particular not for the purchase
price of the Share Linked Instruments. Under certain circumstances the Shares may only have a very
low value or may, in fact, be worthless, in which case see "Investors risk losing all of their investment
in the Instruments" above. Holders may also be subject to certain documentary or stamp taxes in
relation to the delivery and/or disposal of such Shares. The holding of such Shares instead of the
Instruments may adversely affect the Holder's tax position.
Holders will have no voting rights or may have no right to receive dividends or distributions in
respect of the relevant Shares
Except as provided in the relevant Conditions in relation to Physical Delivery Instruments, Holders of
Share Linked Instruments will not have voting rights or any other rights with respect to the relevant
Shares to which such Share Linked Instruments relate.
Unless the "Dividend Conditions" are applicable for Share Linked Instruments, Holders of Share
Linked Instruments will not have rights to receive dividends or distributions. As a result, the return on
the Share Linked Instruments may not reflect the return an investor would realise if the investor
actually owned those relevant Shares and received the dividends paid or other distributions made in
connection with them.
Specific risks relating to Share Linked Instruments in respect of which the applicable Final Terms
specify that the "LEPW Conditions" shall be applicable
Share Linked Instruments in respect of which the applicable Final Terms specify that the "LEPW
Conditions" shall be applicable are linked to the value of specified Shares during a specified period. If
cash dividends are declared and paid on such Shares during such specified period, Holders of such
Share Linked Instruments shall receive such amounts, less deductions for local taxes (including
withholding taxes). Holders of such Share Linked Instruments should note that they will not acquire
any interest in or right to acquire the relevant Shares, and will not in any way have any rights with
respect to the relevant Shares (including voting rights). There is no obligation on the relevant Issuer or
any of its Affiliates to purchase, sell, hold, deliver, pledge or transfer any such Shares. In addition, the
63
Risk Factors
Additional Amount(s) and/or the Cash Settlement Amount (if any) due to Holders of such Share
Linked Instruments will generally be payable in a currency other than the currency in which the
relevant Shares are denominated; as a result, the returns to Holders will be subject to exchange rate risk
as well.
Holders of such Share Linked Instruments should note that following the occurrence of any Potential
Adjustment Event, the Calculation Agent may make certain determinations in respect of such Share
Linked Instruments, such as the issue of additional Share Linked Instruments to Holders or the issue to
Holders of new Share Linked Instruments linked to the relevant Share or the share capital or other
securities of another company created as a result of a spin-off or other similar transaction relating to the
relevant Share Company or the distribution of a cash amount to Holders or the adjustment of the terms
and conditions of such Share Linked Instruments, in each case, to account for the diluting or
concentrative effect of such Potential Adjustment Event. Holders of such Share Linked Instruments
should note that none of the relevant Issuer, the Guarantor (if applicable) and any of their respective
affiliates are in a position to advise or give assurance to the Holders as to the impact to the economic,
legal or tax position of such Holders as a result of such determinations or actions to the Holders.
Holders of such Share Linked Instruments should consult their own business, accounting, regulatory,
legal, tax and other professional advisers with respect to any consequences or considerations (whether
relating to tax or otherwise) which may be relevant to or which may result from any such
determinations or actions.
Holders of such Share Linked Instruments should also note that all payments made by the relevant
Issuer (other than Additional Amounts) will be made subject to deductions to account for any costs and
taxes which a hypothetical broker dealer, directly or indirectly, could incur in connection with any
hedging arrangements which such hypothetical broker dealer could make in order to hedge such Share
Linked Instruments.
The Share Linked Instruments may give exposure to a specified China A share traded through the
China Connect Service. Holders of such Share Linked Instruments should also note the specific risks
relating to China Connect Share LEPW set out in the paragraph below.
Specific Risks relating to Share Linked Instruments in respect of which the applicable Final Terms
specify that the "LEPW Conditions" and "China Connect Share LEPW Conditions" shall be
applicable
Share Linked Instruments in respect of which the applicable Final Terms specify that the "LEPW
Conditions" and "China Connect Share LEPW Conditions" shall be applicable are linked to the value
of specified A shares traded through "China Connect". "China Connect" is a securities trading and
clearing links programme developed by the Shanghai Stock Exchange ("SSE"), the Stock Exchange of
Hong Kong Limited ("SEHK"), the China Securities Depository and Clearing Corporation and the
Hong Kong Securities Clearing Company Limited for the establishment of mutual market access
between SSE and SEHK. It is a new platform for foreign investors to invest in eligible A shares listed
and traded on the SSE. MLICo. or its Affiliates may (but are not obliged to) hedge MLICo.'s
obligations under such Share Linked Instruments through China Connect.
China Connect has some unique features and restrictions, including (without limitation) daily and
aggregate quota restrictions, eligibility criteria for A shares that can be traded through China Connect,
and restrictions on the ability of an investor to take up certain types of rights issuances through China
Connect. Trading through China Connect is also subject to the laws, regulations, rules and guidelines
published or applied by the exchanges, clearing systems and regulators in Hong Kong and the PRC
which provide services in relation to and/or regulate activities relating to China Connect ("China
Connect Rules").
China Connect is in its initial stage and is subject to further development. There is no assurance as to
whether or how such developments may affect an investment in securities traded through China
Connect. Also, the interpretation and application of the China Connect Rules is untested and there is
uncertainty as to how they will be applied.
Holders of such Share Linked Instruments should note that these potential restrictions and uncertainties
relating to China Connect may trigger a Hedging Disruption, a Potential Adjustment Event or an
Additional Disruption Event, or may lead to adjustments to the terms or early termination of such Share
64
Risk Factors
Linked Instruments, and any disruption to or early closure of China Connect may trigger a Market
Disruption Event, all as provided for in the China Connect Share LEPW Conditions.
Specific risks relating to Share Linked Instruments linked to a share listed and/or traded on a stock
exchange in India in respect of which the applicable Final Terms specify that the "LEPW
Conditions" shall be applicable ("Indian LEPW")
In respect of Indian LEPWs issued by MLICo. and which are considered to be an "offshore derivative
instrument" under the Securities and Exchange Board of India (Foreign Portfolio Investors)
Regulations 2014 (the "SEBI Regulations"), such Indian LEPWs may only be issued and transferred
to eligible investors. In order to ensure compliance with the SEBI Regulations, each purchaser of an
Indian LEPW is deemed to represent, warrant, agree and undertake on an ongoing basis its full
compliance with the relevant selling restrictions and transfer restrictions for India set out in the
"Offering and Sale" section of this Offering Circular, and agree and undertake to provide any additional
disclosure or information that MLICo., MLI, BAC and/or their respective affiliates reasonably deem
necessary or appropriate in order to comply with the regulations or requests from an Indian
governmental or regulatory authority from time to time. Failure of any Holder to comply with the India
selling restrictions and transfer restrictions and/or failure to provide MLICo. and/or its affiliates
promptly with the information described above and/or execute any document that MLICo., MLI, BAC
and/or their respective affiliates reasonably deem necessary or appropriate in order to comply with the
regulations or requests from an Indian governmental or regulatory authority from time to time (each an
"Indian LEPW Non-compliance Event") will, if Indian LEPW Non-compliance Event is specified as
applicable in the Final Terms for the applicable Series of Indian LEPW, be an Additional Disruption
Event which gives MLICo. the right to make appropriate adjustments to the Terms and Conditions of
the Indian LEPWs or cancel the Indian LEPWs early.
Furthermore, if Regulatory Order is specified as applicable in the Final Terms for the applicable Series
of Indian LEPW, in the event that the Securities and Exchange Board of India (or equivalent body or
authority) has requested MLICo., MLI and/or their respective affiliates or agents to terminate or
modify the Indian LEPWs, any Applicable Hedge Positions or any Related Hedging Arrangement
relating thereto, or otherwise imposes material requirements on the foregoing, the Guarantee, the
holders or related documents, an Additional Disruption Event will occur which gives MLICo. the right
to make appropriate adjustments to the Terms and Conditions of the Indian LEPWs or cancel the
Indian LEPWs early.
Any adjustment and/or early termination of the Indian LEPWs may result in the loss of some or all of
the purchaser’s investment.
Further, the adjustment and/or early termination right applies to the entire series of the Indian LEPWs.
Any breach by a single Holder may trigger adjustment and/or early termination of the entire series of
the Indian LEPWs. Holders who are not in breach will also be affected as their holdings in the same
series of Indian LEPWs will be subject to adjustment and/or early termination caused by the breach of
such other Holder.
Specific risks relating to Share Linked Instruments linked to a share listed and/or traded on a stock
exchange in a jurisdiction other than India (a "Relevant Jurisdiction") in respect of which the
applicable Final Terms specify that the "LEPW Conditions" shall be applicable ("Other LEPW")
In respect of Other LEPWs issued by MLICo., the issuance, sale, transfer and/or holding of such Other
LEPWs may be subject to laws and regulations in the Relevant Jurisdiction. Purchasers of Other
LEPWs are required to comply with the applicable laws and regulations of the Relevant Jurisdiction.
In order to ensure compliance with these laws and regulations, each purchaser of an Other LEPW is
deemed to represent, warrant, agree and undertake on an ongoing basis its full compliance with the
relevant selling restrictions and transfer restrictions applicable to the Relevant Jurisdiction set out in the
"Offering and Sale" section of this Offering Circular, and agree and undertake to provide any additional
disclosure or information that MLICo., MLI, BAC and/or their respective affiliates reasonably deem
necessary or appropriate in order to comply with the regulations or requests from any governmental or
regulatory authorities of the Relevant Jurisdiction from time to time.
65
Risk Factors
Failure of any Holder to comply with the relevant selling restrictions or transfer restrictions applicable
to the Relevant Jurisdiction and/or failure to provide MLICo. and/or its affiliates promptly with the
information described above and/or execute any document that MLICo., MLI, BAC and/or their
respective affiliates reasonably deem necessary or appropriate in order to comply with the regulations
or requests from any governmental or regulatory authorities of the Relevant Jurisdiction from time to
time (each an "LEPW Non-compliance Event") will, if LEPW Non-compliance Event is specified as
applicable in the Final Terms for the applicable Series of Other LEPW, be an Additional Disruption
Event which gives MLICo. the right to make appropriate adjustments to the Terms and Conditions of
the Other LEPWs or cancel the Other LEPWs early.
Furthermore, if Regulatory Order is specified as applicable in the Final Terms for the applicable Series
of Other LEPW, in the event that a governmental or regulatory authority of the Relevant Jurisdiction
has requested MLICo., MLI and/or their respective affiliates or agent to terminate or modify the Other
LEPWs, any Applicable Hedge Positions or any Related Hedging Arrangement relating thereto, or
otherwise imposes material requirements on the foregoing, the Guarantee, the holders or related
documents, an Additional Disruption Event will occur which gives MLICo. the right to make
appropriate adjustments to the Terms and Conditions of the Other LEPWs or cancel the Other LEPWs
early.
Any adjustment and/or early termination of the Other LEPWs may result in the loss of some or all of
the purchaser’s investment.
Further, the adjustment and/or early termination right applies to the entire series of the Other LEPWs.
Any breach by a single Holder may trigger adjustment and/or early termination of the entire series of
the Other LEPWs. Holders who are not in breach will also be affected as their holdings in the same
series of Other LEPWs will be subject to adjustment and/or early termination caused by the breach of
such other Holder.
Risks relating to GDR/ADR Linked Instruments
Exposure to risk that redemption amounts do not reflect direct investment in the shares underlying
the Depositary Receipts
There are important differences between the rights of holders of ADRs or GDRs (ADRs and GDRs,
together, "Depositary Receipts") and the rights of holders of the stock of the issuer of underlying
shares represented by such Depositary Receipts. A Depositary Receipt is a security that represents
capital stock of the relevant underlying share issuer. The relevant Deposit Agreement for the
Depositary Receipt sets out the rights and responsibilities of the Depositary (being the issuer of the
Depositary Receipt), the underlying share issuer and holders of the Depositary Receipt which may be
different from the rights of holders of the underlying shares. For example, the underlying share issuer
may make distributions in respect of its underlying shares that are not passed on to the holders of its
Depositary Receipts. Any such differences between the rights of holders of the Depositary Receipts
and holders of the underlying shares of the underlying share issuer may be significant and may
materially and adversely affect the value of the relevant GDR/ADR Linked Instruments.
Exposure to the risk of non-recognition of beneficial ownership of the underlying shares represented
by Depositary Receipts and therefore generally do not include dividends
The legal owner of the underlying shares represented by Depositary Receipts is the custodian bank
which at the same time is the issuing agent of the Depositary Receipts. Depending on the jurisdiction
under which the Depositary Receipts have been issued and the jurisdiction to which the custodian
agreement is subject, it is possible that the corresponding jurisdiction would not recognise the
purchaser of the Depositary Receipts as the actual beneficial owner of the underlying shares.
Particularly in the event that the custodian becomes insolvent or that enforcement measures are taken
against the custodian, it is possible that an order restricting free disposition could be issued with respect
to the underlying shares represented by Depositary Receipts or that such shares are realised within the
framework of an enforcement measure against the custodian. If this is the case, the holder of the
Depositary Receipt loses the rights under the underlying shares and the GDR/ADR Linked Instruments
would become worthless. See "Investors risk losing all of their investment in the Instruments" above.
66
Risk Factors
Potential exposure to risks of emerging markets
Depositary Receipts often represent shares of underlying share issuers based in emerging market
jurisdictions. In such case, there are risks relating to GDR/ADR Linked Instruments linked to
Depositary Receipts which represent such underlying shares, see "Risks relating to Instruments which
are linked to emerging market Reference Item(s)" above.
Distributions on the underlying shares may not be passed on to the Depositary Receipts
The issuer of the underlying shares represented by Depositary Receipts may make distributions in
respect of such shares that are not passed on to the purchasers of its Depositary Receipts which may
materially and adversely affect the value of the GDR/ADR Linked Instruments.
Adjustment to the terms and conditions or replacement of the Reference Item following certain
corporate events in relation to the underlying shares represented by Depositary Receipts may
materially and adversely affect the value of the Instruments
Following certain corporate events specified in the terms and conditions of the relevant GDR/ADR
Linked Instruments relating to the underlying shares represented by Depositary Receipts or the relevant
issuer of such underlying shares, such as a merger where the relevant company is not the surviving
entity, the amount Holders of GDR/ADR Linked Instruments will receive, if any, at maturity of such
Instruments may be adjusted by the Calculation Agent or the affected underlying shares and Depositary
Receipts may be replaced by another Reference Item. The occurrence of such corporate events and the
consequential adjustments may materially and adversely affect the value of the GDR/ADR Linked
Instruments.
Exposure to changes in the rate of exchange between the currency of the Depositary Receipt and the
underlying share
Where the currency of the Depositary Receipt is different from that of the underlying share,
represented by a Depositary Receipt, Holders of Instruments linked to such Depositary Receipt may be
exposed not only to the performance of the Depositary Receipt but also to the performance of the
relevant foreign currency of the underlying share, which cannot be predicted. See "Factors affecting
the performance of the relevant foreign exchange rate may adversely affect the value of the
Instruments" below.
Risks relating to FX Linked Instruments and other Instruments in respect of which "Exchange
Rate" is specified to be applicable
Factors affecting the performance of the relevant foreign exchange rate may adversely affect the
value of the Instruments
In the case of FX Linked Instruments or any other Instruments in respect of which "Exchange Rate" is
specified to be applicable in the applicable Final Terms, any changes to the foreign exchange rate(s) to
which such Instruments are linked will affect the nature and value of the investment return on such
Instruments. The performance of foreign exchange rates is dependent upon the supply and demand for
currencies in the international foreign exchange markets, which are subject to international and
domestic political factors, economic factors (including inflation rates in the countries concerned,
interest rate differences between the respective countries), economic forecasts, currency convertibility
and safety of making financial investments in the currency concerned, speculation and measures taken
by governments and central banks. Measures taken by governments and central banks include, without
limitation, imposition of regulatory controls or taxes, issuance of a new currency to replace an existing
currency, alteration of the exchange rate or exchange characteristics by devaluation or revaluation of a
currency or imposition of exchange controls with respect to the exchange or transfer of a Specified
Currency that would affect exchange rates and the availability of a Specified Currency which would
affect the return on such an Instrument or the ability of the relevant Issuer to make delivery in the
Specified Currency.
BAC is a major foreign exchange dealer and is subject to conflicts of interest
Investors should note that BAC and its Affiliates (including Merrill Lynch International) are regular
participants in the foreign exchange markets and in the ordinary course of their business may effect
67
Risk Factors
transactions for their own account or for the account of their customers and hold long and short
positions in currencies and related derivatives, including in the currencies of the relevant foreign
exchange rate(s). Such transactions may affect the relevant foreign exchange rate(s), the market price,
liquidity or value of the Instruments and could be adverse to the interests of Holders. Neither BAC nor
any of its Affiliates has any duty to enter into such transactions in a manner which is favourable to
Holders.
Currencies of emerging markets jurisdictions pose particular risks
Instruments (including FX Linked Instruments) which expose the investor to emerging market
currencies may experience greater volatility and less certainty as to the future levels of such emerging
market currencies or their rate of exchange as against other currencies. See "Risks relating to
Instruments which are linked to emerging market Reference Item(s)" above.
Risks relating to Commodity Linked Instruments
An investment in Commodity Linked Instruments entails significant risks in addition to those
associated with investments in a conventional debt security.
Ownership of the Commodity Linked Instruments will not entitle an investor to any rights with
respect to any futures contracts or Commodities included in or tracked by the Reference Item(s)
An investor will not own or have any beneficial or other legal interest in, and will not be entitled to any
rights with respect to, any of the Commodities or commodity futures included in such Reference
Item(s). Neither the relevant Issuer nor the Guarantor (if applicable) will invest in any of the
Commodities or commodity futures contracts included in such Reference Item(s) on behalf or for the
benefit of the Holders.
Factors affecting the performance of Commodities may adversely affect the value of the Commodity
Linked Instruments; Commodity prices may be more volatile than other asset classes
The prices of Commodities may be volatile and may fluctuate substantially if, for example, natural
disasters or catastrophes, such as hurricanes, fires, or earthquakes, affect the supply or production of
such Commodities. Commodity prices also fluctuate due to general macro-economic forces and
general market movements. The price of Commodities may also fluctuate substantially if conflict or
war affects the supply or production of such Commodities. If any amount payable in respect of an
Instrument is linked to the price of a Commodity, any change in the price of such Commodity may
result in the reduction of the amount of such payment in respect of an Instrument. The reduction in the
amount payable on the redemption/settlement of the Instrument may result, in some cases, in a Holder
receiving a smaller sum on redemption/settlement of the Instrument than the amount originally invested
in such Commodity Linked Instrument.
Commodity Linked Instruments may reference physical commodities or commodity contracts, and
Commodity Indices may include commodity contracts that are not traded on regulated exchanges
Commodities comprise both (i) "physical" commodities, which need to be stored and transported, and
which are generally traded at a "spot" price, and (ii) commodity contracts, which are agreements either
to (a) buy or sell a set amount of an underlying physical commodity at a predetermined price and
delivery period (which may be referred to as a delivery month), or to (b) make and receive a cash
payment based on changes in the price of the underlying physical commodity.
Commodity Indices are typically based solely on futures contracts traded on regulated futures
exchanges; however, a Commodity Index may include over-the-counter contracts traded on trading
facilities outside the United States that are subject to lesser degrees of regulation or, in some cases, no
substantive regulation. Accordingly, trading in such contracts, and the manner in which prices and
volumes are reported by the relevant trading facilities, may not be subject to the provisions of, and the
protections afforded by, the applicable regulations governing regulated futures exchanges. As a result,
the trading of contracts on such facilities and the inclusion of such contracts in a Commodity Index
may be subject to certain risks not presented by most exchange-traded futures contracts, including risks
related to the liquidity and price histories of the relevant contracts and any Instruments which reference
any such commodity contracts may have reduced liquidity or greater price volatility or be subject to
more extensive market disruptions.
68
Risk Factors
Commodity Linked Instruments which are linked to commodity futures contracts may provide a
different return from Commodity Linked Instruments linked to the relevant physical commodity and
will have certain other risks
The price of a futures contract on a commodity will generally be at a premium or at a discount to the
spot price of the underlying commodity. This discrepancy is due to such factors as (i) the need to
adjust the spot price due to related expenses (e.g., warehousing, transport and insurance costs) and (ii)
different methods being used to evaluate general factors affecting the spot and the futures markets. In
addition, and depending on the commodity, there can be significant differences in the liquidity of the
spot and the futures markets. Accordingly, Commodity Linked Instruments which are linked to
commodity futures contracts may provide a different return from Commodity Linked Instruments
linked to the relevant physical commodity.
Investments in futures contracts involve certain other risks, including potential illiquidity. A holder of
a futures position may find that such position becomes illiquid because certain commodity exchanges
limit fluctuations in such futures contract prices pursuant to "daily limits". Once the price of a
particular futures contract has increased or decreased by an amount equal to the daily limit, positions in
the contract can neither be taken nor liquidated unless holders are willing to effect trades at or within
the limit. This could prevent a holder from promptly liquidating unfavourable positions and subject it
to substantial losses. Futures contract prices in various commodities occasionally have exceeded the
daily limit for several consecutive days with little or no trading. Any such losses in such circumstances
could have a negative adverse effect on the return of any Commodity Linked Instruments the Reference
Item of which is the affected futures contract. There can be no assurance that any such disruption or
any other force majeure (such as an act of God, fire, flood, severe weather conditions, act of
governmental authority or a labour dispute or shortage) will not have an adverse effect on the value of
or trading in the Reference Item(s), or the manner in which it is calculated, and therefore, the value of
the Instruments.
In the case of a direct investment in commodity futures contracts, the invested capital may be applied
in whole or in part by way of collateral in respect of the future claims of the respective counterparties
under the commodity futures contracts. Such capital will generally bear interest, and the interest yield
will increase the return of the investor making such direct investment. However, Holders of
Instruments linked to the price of commodity futures contracts do not participate in such interest yields
from the hypothetical fully collateralised investment in commodity futures contracts.
Additional risks in relation to the "rolling" of commodity futures contracts (including commodity
futures contracts which are Components of a Commodity Index)
Commodity contracts have a predetermined expiration date, which is the date on which trading of the
commodity contract ceases. Holding a commodity contract until expiration will result in delivery of
the underlying physical commodity or the requirement to make or receive a cash settlement.
Alternatively, "rolling" the commodity contracts means that the commodity contracts that are nearing
expiration (the "near-dated commodity contracts") are sold before they expire and commodity
contracts that have an expiration date further in the future (the "longer-dated commodity contracts")
are purchased. Investments in commodities apply "rolling" of the component commodity contracts in
order to maintain an ongoing exposure to such commodities.
"Rolling" can affect the value of an investment in commodities in a number of ways, including:
(i)
The investment in commodity contracts may be increased or decreased through
"rolling": Where the price of a near-dated commodity contract is greater than the price of the
longer-dated commodity contract (the commodity is said to be in "backwardation"), then
"rolling" from the former to the latter will result in exposure to a greater number of the longerdated commodity contract being taken. Therefore, any loss or gain on the new positions for a
given movement in the prices of the commodity contract will be greater than if one had
synthetically held the same number of commodity contracts as before the "roll". Conversely,
where the price of the near-dated commodity contract is lower than the price of the longerdated commodity contract (the commodity is said to be in "contango"), then "rolling" will
result in exposure to a smaller number of the longer-dated commodity contract being taken.
Therefore, any gain or loss on the new positions for a given movement in the prices of the
69
Risk Factors
commodity contract will be less than if one had synthetically held the same number of
commodity contracts as before the "roll".
(ii)
Where a commodity contract is in contango (or, alternatively, backwardation) it may be
expected to (though it may not) have a negative (or, alternatively, positive) effect over
time: Where a commodity contract is in "contango", the price of the longer-dated commodity
contract will generally be expected to (but may not) decrease over time as it nears expiry. In
such event, rolling is generally expected to have a negative effect on an investment in the
commodity contract. Where a commodity contract is in "backwardation", the price of the
longer-dated commodity contract will generally be expected to (but may not) increase over
time as it nears expiry. In such event, the investment in the relevant commodity contract can
generally be expected to be positively affected.
Commodity indices are indices which track the performance of a basket of commodity contracts on
certain commodities, depending on the particular index. The weighting of the respective commodities
included in a commodity index will depend on the particular index, and is generally described in the
relevant index rules of the index. Commodity indices apply "rolling" of the component commodity
contracts in order to maintain an ongoing exposure to such commodities. Specifically, as a commodity
contract is required to be rolled pursuant to the relevant index rules, the commodity index is calculated
as if exposure to the commodity contract was liquidated and exposure was taken to another (generally
longer-dated) commodity contract for an equivalent exposure. Accordingly, the same effects as
described above with regard to "rolling" on the value of a Commodity Reference Item also apply with
regard to the index level of a Commodity index.
Legal and regulatory changes relating to the Commodities may lead to adjustment to, or early
redemption or settlement of, the Commodity Linked Instruments, and could adversely affect the
return on and value of the Commodity Linked Instruments
The legal and regulatory regimes of Commodities in many jurisdictions, including, in particular, the
United States and Europe, may change in ways that could increase the level of regulation of markets
and market participants, reduce liquidity, increase market volatility and increase the costs of
participating in the commodity or futures markets which could negatively affect an interest in
Commodity Linked Instruments.
In the United States, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the "DoddFrank Act"), which was enacted in July 2010, provides for substantial changes to regulation of the
listed and over-the-counter ("OTC") derivative markets. The Dodd-Frank Act requires regulators,
including the U.S. Commodity Futures Trading Commission ("CFTC"), to adopt regulations to
implement many of the requirements of the legislation, including additional obligations on market
participants that trade OTC derivatives on physical commodities; increasing the level of regulation on
market participants; requiring an increasing number of OTC derivative transactions to be executed on
regulated exchanges or trading platforms and cleared though regulated clearing houses; and requiring
swap dealers to be registered and subject to various additional regulatory requirements, including
capital and margin requirements. These changes may have the effect of reducing liquidity and
increasing costs in these markets, as well as affecting the structure of the markets in other ways.
Furthermore, these changes and the resulting increased costs and regulatory oversight requirements
may result in market participants being required to, or deciding to, cease or limit their trading activities.
While the CFTC has adopted many of the final regulations and has proposed certain others, the
ultimate nature and scope of all potentially relevant regulations, and its impact on the relevant Issuer
and the Commodity Linked Instruments, cannot yet be determined.
In addition, other regulatory bodies have proposed, or may in the future propose, legislation similar to
that proposed by the Dodd-Frank Act which could contain other restrictions that could adversely
impact the liquidity of, and increase the costs of, participating in the commodities markets. In Europe,
the European Market Infrastructure Regulation ("EMIR") and its accompanying technical standards, as
well as the Markets in Financial Instruments Directive ("MiFID II") and its implementing measures,
seek to address concerns in relation to the monitoring of counterparty credit risk of OTC derivatives
market participants, transparency and liquidity in financial markets. For example, under the recast
MiFID II and the accompanying Markets in Financial Instruments Regulation ("MiFIR"), there are
requirements to establish position limits on trading commodity derivatives. The implementing
70
Risk Factors
regulations and technical standards are currently subject to review and consultation and the scope of the
final rules remains unclear.
Any such changes to the legal and regulatory regime in relation to Commodities may adversely affect
the relevant Issuer's obligations in respect of any underlying or hedging transactions in relation to the
Commodity Linked Instruments, or may make it unlawful or infeasible, in whole or in part, for any
reason for the relevant Issuer to access the commodity markets for purposes of managing commodity
market risk, which may lead to adjustment to, or early redemption/settlement of, the Commodity
Linked Instruments. In the event of an early redemption/settlement, any early settlement amount or
early redemption amount may be less than the purchase price of the Commodity Linked Instruments,
and may be zero.
In addition, any such changes to the legal and regulatory regime in relation to Commodities could have
an adverse impact on the price of a Commodity, or the return on a Commodity Index, and the return on
and value of the Commodity Linked Instruments.
Data sourcing and calculation risks associated with a Commodity Index and the commodity
contracts underlying a Commodity Index may adversely affect the value of the Commodity Index
The closing level of a Commodity Index or the prices of commodity contracts underlying such
Commodity Index will be calculated based on price data that are subject to potential errors in data
sources or other errors that may affect the closing levels published by the relevant sponsor of a
Commodity Index or the prices published by the relevant price source(s) for such underlying
commodity contracts, as applicable. Also, there may be errors in any other data sourced by the sponsor
of a Commodity Index. Such errors could adversely affect the closing level of the Commodity Index on
any given day, which could in turn have an adverse effect on the value of the Instruments and any
amount payable under the Instruments. There can be no assurance that any error or discrepancy on the
part of any data source or sponsor will be corrected or revised or that the sponsor of a Commodity
Index will incorporate any such correction or revision into the calculation of such Commodity Index.
None of the sponsor of a Commodity Index, the Issuers and the Guarantor makes any representation or
warranty, express or implied, as to the correctness or completeness of that information or takes any
responsibility for the accuracy of such data or the impact of any inaccuracy of such data on the relevant
level of such Commodity Index, or on the value of any commodity contracts included in such
Commodity Index.
Risks relating to Fund Linked Instruments
No Fund will have participated in the preparation of the applicable Final Terms or in establishing
the terms of the Fund Linked Instruments
No Fund will have participated in the preparation of the applicable Final Terms or in establishing the
terms of the Fund Linked Instruments and none of the relevant Issuer, the Guarantor (if applicable) and
any Dealer will make any investigation or enquiry in connection with such offering with respect to any
information concerning any such Fund contained in such Final Terms or in the documents from which
such information was extracted. Neither the relevant Issuer nor the Guarantor (if applicable) controls
any Fund or is responsible for any disclosure made by any Fund. Consequently, there can be no
assurance that all events occurring prior to the relevant issue date (including events that would affect
the adequacy, accuracy or completeness of the publicly available information or in any applicable Final
Terms) that would affect the net asset value of a unit (or fund interest) in the relevant Fund(s) or, the
share price of the Fund Shares of the relevant Exchange Traded Fund(s) ("ETFs"), will have been
publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose
material future events concerning such Fund could affect the net asset value of a unit (or fund interest)
in such Fund, or the share price of the Fund Shares of such ETFs, and therefore the trading price of the
Instruments or amounts paid or delivered under the Instruments.
A Fund may be subject to Fund Events which may adversely impact the value of Fund Linked
Instruments
If certain events specified as Fund Events occur, the Calculation Agent may replace the Fund by other
Funds and thereafter the amount payable in respect of the Fund Linked Instruments will depend on and
be calculated by reference to the performance of an alternate asset. This may have a considerable
71
Risk Factors
impact on the value of the Fund Linked Instruments and the amount payable in respect of the Fund
Linked Instruments. Alternatively, any determination dates and payment dates may be changed by the
Calculation Agent, or the amount paid per Fund Linked Instrument may be based on the only cash
amounts that an investor in the fund actually received, which might be as low as zero.
Risk from composition and changes to a Fund
The management company of a Fund can, without regard to the interests of the investors in the Fund
Linked Instruments, add, delete or substitute any Funds by reference to which the value of a Fund is
calculated or make other methodological changes that could change the investment profile of a Fund.
The management company may also determine to discontinue a Fund. If a Fund is discontinued, it may
be replaced by other assets and/or the Fund Linked Instruments may be redeemed or exercised early.
In the event that a Fund is materially modified or permanently cancelled or the management company
fails to calculate or announce the net asset value of a Fund, the Calculation Agent will either make such
adjustments to any variable, calculation methodology, valuation, settlement, payment terms or any
other terms and conditions of the Fund Linked Instruments as the Calculation Agent determines
appropriate to account for the effect on the Fund Linked Instruments of such events, or may redeem or
exercise the Fund Linked Instruments early. Any of these decisions or determinations may adversely
impact the value of the Fund Linked Instruments. In the event that the Fund Linked Instruments are
early settled/redeemed, that amount payable to an investor may be less than the investor's initial
investment, and may be as low as zero.
Funds may be subject to transfer restrictions and illiquidity
Funds and the assets thereof may be subject to transfer restrictions arising by way of applicable
securities laws or otherwise. Such restrictions may mean that purchasers of the Fund Linked
Instruments are not entitled to acquire interests in the Funds directly. Holders of units or shares in a
Fund may have the right to transfer or withdraw their investment in the Funds only at certain times and
upon completion of certain documentary formalities and such rights may be subject to suspension or
alteration. These circumstances may affect the net asset value of the Funds in question. Potential
investors should familiarise themselves with the features of the Funds in this regard.
Events which affect the value of a Fund will affect the value of Fund Linked Instruments
The occurrence of any of the following events could materially and adversely affect the value of shares
or units in a Fund, and have a consequent material and adverse effect on the value of Fund Linked
Instruments:

Valuation: The valuation of Funds is generally controlled by the management company of the
Fund. Valuations are performed in accordance the terms and conditions governing the Fund.
Such valuations may be based upon the unaudited financial records of the Fund and any
accounts pertaining thereto. Such valuations may be preliminary calculations of the net asset
values of the Fund and accounts. The Fund may hold a significant number of investments
which are illiquid or otherwise not actively traded and in respect of which reliable net asset
values may be difficult to obtain. In consequence, the management company may vary certain
quotations for such investments held by the Fund in order to reflect its judgement as to the fair
value thereof. Therefore, valuations may be subject to subsequent adjustment upward or
downward. Uncertainties as to the valuation of Fund assets and/or accounts may have an
adverse effect on the net asset value of the Fund where such judgements regarding valuations
prove to be incorrect.

Trading charges: The performance of a Fund will be affected by the charges incurred thereby
relating to the investments of such Fund. The Fund may engage in short-term trading which
may result in increased turnover and associated higher than normal brokerage commissions
and other expenses.

Legal and regulatory changes: Future changes to applicable law or regulation may be adverse
to a Fund.
72
Risk Factors

Investment risk: All investments risk the loss of capital and/or the diminution of investment
returns. A Fund may utilise (inter alia) strategies such as short-selling, leverage, securities
lending and borrowing, investment in sub-investment grade or non-readily realisable
investments, uncovered options transactions, options and futures transactions and foreign
exchange transactions and the use of concentrated portfolios, each of which could, in certain
circumstances, magnify adverse market developments and losses.

Illiquidity: A Fund may make investments in markets that are volatile and/or illiquid and it
may be difficult or costly for positions therein to be opened or liquidated.

Performance risk: No assurance can be given relating to the present or future performance of a
Fund. The performance of a Fund is dependent on the performance of the management
company thereof. Certain management companies may utilise analytical models upon which
investment decisions are based. No assurance can be given that these persons will succeed in
meeting the investment objectives of the Fund, that any analytical model used thereby will
prove to be correct or that any assessments of the short-term or long-term prospects, volatility
and correlation of the types of investments in which the Funds have invested or will invest
will prove accurate.

Effect of exchange rates and exchange controls: The net asset value of a Fund could be
adversely affected not only by hedging costs and changes in exchange rates, but also by local
exchange control regulations and other limitations, including currency exchange limitations
and political and economic developments in the relevant countries.

Market risks: The markets in which a Fund invests may prove to be highly volatile from time
to time as a result of, for example, sudden changes in government policies on taxation and
currency repatriation or changes in legislation relating to the value of foreign ownership in
companies, and this may affect the net asset value at which a Fund may liquidate positions to
meet repurchase requests or other funding requirements.

Hedging risks: A Fund may in certain cases employ various hedging techniques to reduce the
risk of investment positions. A substantial risk remains, nonetheless, that such techniques will
not always be available and when available, will not always be effective in limiting losses. A
Fund may take substantial unhedged positions.

Interest rate risks: The values of securities held by a Fund (or by any underlying Fund) tend to
be sensitive to interest rate fluctuations and unexpected fluctuations in interest rates could
cause the corresponding net asset values of a Fund's positions to move in directions which
were not initially anticipated. To the extent that interest rate assumptions underlie the hedge
ratios implemented in hedging a particular position, fluctuations in interest rates could
invalidate those underlying assumptions and expose a Fund to losses.

Absence of regulation: A Fund will generally not be regulated under the laws of any country
or jurisdiction. As a result, certain protections of such laws (which, among other things, may
require investment companies to have disinterested directors, require securities to be held in
custody and segregated, regulate the relationship between the investment company and its
adviser and mandate investor approval before fundamental investment policies may be
changed) do not apply to a Fund. This absence of regulation may adversely affect the
performance of a Fund.

Suspension of trading: A securities exchange typically has the right to suspend or limit trading
in any instrument traded on that exchange. A suspension could render it impossible for a Fund
to liquidate positions and thereby expose a Fund to losses.

Dependence on key individuals: The success of a Fund is dependent on the expertise of its
managers. The loss of one or more individuals could have a material adverse effect on the
ability of a Fund manager to direct a fund's portfolio, resulting in losses for a Fund and a
decline in the value of a Fund. Indeed, certain fund managers may have only one principal,
without whom the relevant Fund manager could not continue to operate.
73
Risk Factors

Experience of Fund managers: Certain Funds may be managed by investment managers who
have managed hedge funds for a relatively short period of time. The previous experience of
such investment managers is typically in trading proprietary accounts of financial institutions
or managing unhedged accounts of institutional asset managers or other investment firms. As
such investment managers do not have direct experience in managing Funds or hedge funds,
including experience with financial, legal or regulatory considerations unique to Fund
management, and there is generally less information available on which to base an opinion of
such managers' investment and management expertise, investments with such investment
managers may be subject to greater risk and uncertainty than investments with more
experienced Fund managers.

Risk of fraud: There is a risk that a Fund manager could divert or abscond with the assets, fail
to follow agreed-upon investment strategies, provide false reports of operations or engage in
other misconduct.

Performance compensation payable to Fund managers: The performance-based compensation
paid to a Fund manager is typically calculated on a basis that includes unrealised appreciation
and may consequently be greater than if such compensation were based solely on realised
gains. Each Fund generally calculates its own performance compensation based on its
individual performance, irrespective of increases in the overall value of the Fund.
Furthermore, when the Fund is rebalanced and an unprofitable underlying asset is removed,
the loss carried forward by such Fund's trading is eliminated for purposes of calculating
subsequent performance compensation due to the Fund manager of any replacement
underlying asset. Thus, there may be substantial incentive compensation due to the relevant
Fund manager even during a period when the portfolio of assets is incurring significant losses.

Concentration risk: As many hedge funds have the authority to concentrate their investments
in securities of a single issuer or industry, the overall adverse impact on one or more
components of the fund, and correspondingly on the value of the Fund, of adverse movements
in the value of such securities could be considerably greater than if the Fund were not
permitted to concentrate their investments. Moreover, a number of hedge funds included as
components in a Fund might accumulate substantial positions in the same or related
instruments at the same time. As information regarding the actual investments made by such
funds is not generally available, the management company will be unable to identify any such
accumulations, which could expose the relevant Fund to the risk of sudden and severe
declines.

Risks of leverage: A Fund may borrow without limitation and typically utilise various lines of
credit and other forms of leverage. In addition, certain of a Fund's investment strategies
(primarily those utilising derivative instruments) may involve indirect forms of leverage.
While leverage presents opportunities for increasing a Fund's total return, it increases the
potential risk of loss as well. Any event which adversely affects the value of an investment by
a Fund is magnified to the extent that such investment is leveraged. Leverage can have a
similar effect on issuers in which a Fund invests. The use of leverage by a Fund could result
in substantial losses which would be greater than if leverage had not been used. A Fund's
assets may be further leveraged or hedged by the use of derivatives. In addition, investments
of a fund may include investments in partnerships and other pooled investment vehicles,
which themselves employ leverage to a significant extent. Such investments are subject to the
same leverage risks as described above and a Fund could lose its entire investment. As a
general matter, the banks and dealers that provide financing to a fund can apply essentially
discretionary margin, haircut, financing and security and collateral valuation policies.
Changes by banks and dealers in these policies may result in large margin calls, loss of
financing and forced liquidations of positions at disadvantageous net asset values.

Non-deductible taxes: As Funds may be resident in so-called off-shore jurisdictions, which
have not entered into any double taxation conventions with other countries, any income of
such Fund may be subject to taxation in the countries of origin. As such withholding taxes are
non-deductible due to the fact that such Funds are not subject to income taxation in their
countries of residence, the Fund's net income may be reduced which may have a negative
impact on the performance of such Fund.
74
Risk Factors

Investment criteria: It may be difficult to specify precisely or comprehensively the strategies
of a Fund. As a result, it may not sometimes be clear whether or not a Fund fulfils the
investment criteria set out in its offering document.

Risks of equity investments: The investment orientation of a Fund may be based to a
significant extent on equity investments. Investment in equity securities to aggressively seek
capital appreciation is speculative and is generally perceived to encompass greater risks than
those involved in connection with an investment in debt securities of comparable issuers.

Risks of fixed income investments: A Fund may invest in fixed income securities and,
therefore, may be exposed to the risk of default by the issuers of such securities. Such default
may result in delays in payment, or non-payment of interest or principal when due.
Furthermore, the net asset value of fixed income securities may also fluctuate with changes in
prevailing interest rates and/or in the creditworthiness of the issuer, and these fluctuations may
result in a loss of capital by a Fund.

Risks of collective investment schemes: Some Funds may invest in other collective investment
schemes. Investment in schemes of this type may afford the investor less transparency in
respect of the ultimate assets of the scheme.

Large transactions: Large subscriptions and redemptions may result in the liquidation or
dilution of fund assets that may affect the net asset value of such Fund.

Emerging markets: A Fund may invest in securities of governments of, or companies
domiciled in, less-developed or emerging markets. See "Risks relating to Instruments which
are linked to emerging market Reference Item(s)" above. Custody arrangements in such
countries may also present enhanced risk.

Risks of repos: A Fund may use repurchase agreements. Under a repurchase agreement, a
security is sold to a buyer and at the same time the seller of the security agrees to buy back the
security at a later date at a higher net asset value. In the event of a bankruptcy or other default
of the transferor of securities in a repurchase agreement, a Fund could experience delays in
liquidating the underlying securities and losses, including possible declines in the value of the
collateral during the period while it seeks to enforce its rights thereto; possible subnormal
levels of income and lack of access to income during this period and the expenses of enforcing
its rights. In the case of a default by the transferee of securities in a repurchase agreement, the
management company bears the risk that the transferee may not deliver the securities when
required.

Risks of currency speculation: A Fund may engage in exchange rate speculation. Foreign
exchange rates have been highly volatile in recent years. The combination of volatility and
leverage gives rise to the possibility of large profit but also carries a high risk of loss. In
addition, there is counterparty credit risk since foreign exchange trading is done on a principal
to principal basis.

Risks of commodity futures: Commodity futures prices can be highly volatile. As a result of
the low margin deposits normally required in futures trading, an extremely high degree of
leverage is typical of a futures trading account. As a result, a relatively small price movement
in a futures contract may result in substantial losses to the investor. Like other leveraged
investments, a futures transaction may result in losses in excess of the amount invested.

Risks of derivative instruments: A Fund may use derivative instruments, such as collateralised
debt obligations, stripped mortgage-backed securities, options and swaps. There are
uncertainties as to how the derivatives market will perform during periods of unusual price
volatility or instability, market illiquidity or credit distress. Substantial risks are also involved
in borrowing and lending against such instruments. The prices of these instruments are
volatile, market movements are difficult to predict and financing sources and related interest
rates are subject to rapid change. One or more markets may move against the positions held
by a Fund, thereby causing substantial losses. Most of these instruments are not traded on
exchanges but rather through an informal network of banks and dealers. These banks and
dealers have no obligation to make markets in these instruments and may apply essentially
75
Risk Factors
discretionary margin and credit requirements (and thus, in effect, force a Fund to close out its
relevant positions). In addition, such instruments carry the additional risk of failure to
perform by the counterparty to the transaction. Government policies, especially those of the
U.S. Board of Governors of the Federal Reserve System (the "Federal Reserve Board") and
non-U.S. central banks, have profound effects on interest and exchange rates which, in turn,
affect prices of derivative instruments. Many other unforeseeable events, including actions by
various government agencies and domestic and international political events, may cause sharp
market fluctuations.

Risks of short selling: A Fund may sell securities short. Short selling exposes a Fund to
theoretically unlimited risk due to the lack of an upper limit on the price to which a security
may rise. Short selling involves the sale of borrowed stock. If a stock loan is called, the short
seller may be forced to repurchase the stock at a loss. In addition, some traders may attempt to
profit by forcing short sellers to incur a loss. Traders may make large purchases of a stock
that has been sold short. The large purchases are intended to drive up the stock price, and
cause the short sellers to incur losses. By doing this, the traders hope the short sellers will
limit their losses by repurchasing the stock and force the stock price even higher.

Risks of arbitrage: The use of arbitrage strategies by a Fund in no respect should be taken to
imply that such strategies are without risk. Substantial losses may be incurred on "hedge" or
"arbitrage" positions, and illiquidity and default on one side of a position may effectively
result in the position being transformed into an outright speculation. Every arbitrage strategy
involves exposure to some second order risk of the market, such as the implied volatility in
convertible bonds or warrants, the yield spread between similar term government bonds or the
net asset value spread between different classes of stock for the same underlying firm.
Further, there are few examples of "pure" arbitrage Funds. Most Funds also employ limited
directional strategies which expose them to market risk.

Credit risk: Many of the markets in which a Fund effects its transactions are "over-thecounter" or "inter-dealer" markets. The participants in these markets are typically not subject
to credit evaluation and regulatory oversight as are members of "exchange based" markets. To
the extent that a Fund invests in swaps, derivatives or synthetic instruments, or other over-thecounter transactions in these markets, such Fund may take a credit risk with regard to parties
with which it trades and also may bear the risk of settlement default. These risks may differ
materially from those involved in exchange-traded transactions, which generally are
characterised by clearing organisation guarantees, daily marking-to-market and settlement,
and segregation and minimum capital requirements applicable to intermediaries. Transactions
entered into directly between two counterparties generally do not benefit from these
protections, which in turn may subject a Fund to the risk that a counterparty will not settle a
transaction in accordance with its terms and conditions because of a dispute over the terms of
the contract or because of a credit or liquidity problem. Such "counterparty risk" is increased
for contracts with longer maturities when events may intervene to prevent settlement. The
ability of a Fund to transact business with any one or any number of counterparties, the lack of
any independent evaluation of the counterparties or their financial capabilities, and the
absence of a regulated market to facilitate settlement, may increase the potential for losses.

Risks relating to controlling stakes: A Fund may take controlling stakes in companies. The
exercise of control over a company imposes additional risks of liability for environmental
damage, product defects, failure to supervise and other types of related liability.

Price volatility: The market price of Fund Linked Instruments may be volatile and may depend
on the time remaining to the redemption date or settlement date (as applicable) and the
volatility of the price of Fund share(s) or unit(s). The price of Fund share(s) or unit(s) may be
affected by the economic, financial and political events in one or more jurisdictions, including
factors affecting the exchange(s) or quotation system(s) on which any units in the Fund or
Funds may be traded.
76
Risk Factors
As the shares of certain Funds may only be redeemable on certain dates, there is a risk of delays or
defaults in payment
The shares of a Fund may only be redeemable on certain redemption dates, subject to the prescribed
notice period in respect of such Fund. This gives rise to a time delay between the execution of an order
for redemption and payment of the proceeds on such redemption. If the Fund becomes insolvent
following the date on which a redemption order would have to be notionally placed or the Calculation
Agent determines that the relevant Fund would fail to pay to any shareholder in cash the full
redemption proceeds owing to them if they redeemed their shares on the relevant date, an adjustment
may be made by the Calculation Agent when calculating the return on the Instruments to the net asset
value per share of the relevant Fund, thereby reducing the return on the Instruments.
In the case of Fund Linked Instruments linked to ETFs, if the Calculation Agent determines that an
event giving rise to a Disrupted Day has occurred at any relevant time, any such determination may
have an effect on the timing of valuation and consequently the value of the Instruments and/or may
delay settlement in respect of the Fund Linked Instruments. Potential investors should review the
relevant Conditions and the applicable Final Terms to ascertain whether and how such provisions apply
to the Fund Linked Instruments.
In the case of Fund Linked Instruments linked to ETFs following the declaration by the ETF of the
occurrence of any Potential Adjustment Event, the Calculation Agent will, in its sole and absolute
discretion, determine whether such Potential Adjustment Event has a diluting or concentrative effect on
the theoretical relevant Fund Shares and, if so, will (i) make the corresponding adjustment, if any, to
any of the terms of the relevant Conditions and/or the applicable Final Terms as the Calculation Agent
in its sole and absolute discretion determines appropriate to account for that diluting or concentrative
effect and (ii) determine the effective date of that adjustment. Such adjustment may have an adverse
effect on the value and liquidity of the affected Fund Linked Instruments.
In addition, in the case of Fund Linked Instruments linked to ETFs, if a Merger Event, Tender Offer,
De-Listing, Material Underlying Event, Nationalisation or Insolvency occurs in relation to any Fund
Share, the relevant Issuer in its sole and absolute discretion may take the action described in (i) or (ii)
below:
(i)
require the Calculation Agent to determine in its sole and absolute discretion the appropriate
adjustment, if any, to be made to any of the relevant Conditions and/or the applicable Final
Terms to account for the Merger Event, Tender Offer, De-Listing, Material Underlying Event,
Nationalisation or Insolvency and determine the effective date of that adjustment. Such
adjustment may have an adverse effect on the value and liquidity of the affected Fund Linked
Instruments; or
(ii)
redeem or cancel, as applicable, all of the Fund Linked Instruments. In the event of such
redemption or cancellation the amount payable to an investor may be less than the investor's
initial investment, and may be as low as zero.
Risks relating to Inflation Linked Instruments
A relevant consumer price index or other formula linked to a measure of inflation to which the
Instruments are linked may be subject to significant fluctuations that may not correlate with other
indices. Any movement in the level of the index may result in a reduction of the interest payable on the
Instruments, and in the case of Instruments with a settlement/redemption amount linked to inflation, in
a reduction of the amount payable on settlement/redemption which in some cases could be less than the
amount originally invested.
The timing of changes in the relevant consumer price index or other formula linked to the measure of
inflation comprising the relevant index or indices may affect the actual yield to investors on the
Inflation Linked Instruments, even if the average level is consistent with their expectations.
An index to which interest payments on an Inflation Linked Instrument and/or the redemption amount
of an Inflation Linked Instrument are linked is only one measure of inflation for the relevant
jurisdiction, and such index may not correlate perfectly with the rate of inflation experienced by
Holders in such jurisdiction.
77
Risk Factors
Risks relating to Credit Linked Instruments
General risks relating to Credit Linked Instruments
The Issuers may issue Credit Linked Instruments where the amount payable is dependent upon whether
certain events ("Credit Events") have occurred in respect of one or more Reference Entity/Entities
and, if so, on the value of certain specified assets of such Reference Entity/Entities or where, if one or
more Credit Events have occurred, on redemption the relevant Issuer's obligation is to deliver certain
specified assets.
Holders of any such Credit Linked Instruments should be aware that depending on the terms of the
Credit Linked Instruments (i) they may receive no or a limited amount of interest or additional
amounts, (ii) the payment of the redemption amount, interest or additional amounts or delivery of any
specified assets may occur at a different time than expected and (iii) they may lose all or a substantial
portion of their investment.
The market price of Credit Linked Instruments may be volatile and will be affected by, amongst other
things, the time remaining to the redemption date or settlement date, as applicable, prevailing credit
spreads and the creditworthiness of the Reference Entity/Entities which in turn may be affected by the
economic, financial and political events in one or more jurisdictions. Risks relating to Credit Linked
Instruments may be correlated or compounded and such correlation and/or compounding may result in
increased volatility in the value of such Instruments and/or in increased losses for holders of such
Instruments.
Actions of Reference Entities (for example, merger or demerger or the repayment or transfer of
indebtedness) may adversely affect the value of any Credit Linked Instruments. The views of market
participants and/or legal counsel may differ as to how the terms of market standard credit default
swaps, and the corresponding terms of any Credit Linked Instruments, should be interpreted in the
context of such actions, or such terms may operate in a manner contrary to the expectations of market
participants and/or adversely to the interests of holders of any Credit Linked Instruments. Holders of
any Credit Linked Instruments should be aware that the Reference Entities to which the value of such
Instruments are exposed, and the terms of such exposure, may change over the term of such
Instruments. Reference Entities may not be subject to regular reporting requirements under
Luxembourg securities laws and may report information in accordance with different disclosure and
accounting standards. Consequently, the information available for such Reference Entities may be
different from, and in some cases less than, the information available for entities that are subject to the
reporting requirements under the Luxembourg securities laws. None of the relevant Issuer, the
Guarantor (if applicable), the Calculation Agent and any of their respective affiliates make any
representation as to the accuracy or completeness of any information available with respect to the
Reference Entities.
Holders may be affected by Credit Events that occur before the Issue Date
Holders of Credit Linked Instruments may suffer a loss of some or all of their investment if one or
more Credit Events occur on or after the Credit Event Backstop Date (which may fall prior to the Issue
Date). None of the Calculation Agent, the relevant Issuer, the Guarantor (if applicable) and any of
their respective affiliates has any responsibility to avoid or mitigate the effects of a Credit Event that
has taken place prior to the Issue Date.
There may be increased risks associated with Nth-to-Default Instruments
Where the Credit Linked Instruments are Nth-to-Default Instruments, the relevant Credit Linked
Instruments will be subject to redemption in full as described above upon the occurrence of a Credit
Event in relation to the Nth Reference Entity in relation to which an Event Determination Date has
occurred. With Nth-to-Default Instruments, the credit risk to holders of the Instruments may be
increased as a result of, amongst other things, the concentration of Reference Entities in a particular
industry sector or geographic area, or the exposure of the Reference Entities to similar financial or
other risks.
78
Risk Factors
There may be increased risks associated with Tranched Portfolio CLNs
If a Credit Event occurs in respect of a Reference Entity that results in an Incurred Loss Amount, the
Outstanding Principal Amount of the Credit Linked Notes shall be reduced by the sum of the lesser of:
(a) the Outstanding Principal Amount; and (b) the relevant Settlement Amount, which amount may be
at a considerable discount to par and could be zero and interest will cease to accrue from the
immediately preceding Interest Payment Date with respect to an amount equal to the relevant
Settlement Amount with respect to such Reference Entity and Credit Event.
If following the occurrence of a Credit Event, the Outstanding Principal Amount of the Credit Linked
Notes is reduced to zero, the Credit Linked Notes will be redeemed early. An investor therefore risks
losing all of its principal and interest.
Further, if on an Interest Determination Date, the Calculation Agent determines that a potential Credit
Event has occurred or a Credit Event has occurred which, in either case, could result in the
determination of an Incurred Loss Amount, then interest shall be deferred in an amount which would
have accrued on the Reference Entity Notional Amount of the relevant affected Reference Entity until
the actual Settlement Amount can be determined and, in such cases, any interest which would have
been paid had the relevant potential Credit Event or Credit Event been determined in the same Interest
Period shall be paid on a deferred basis on the Interest Payment Date following the date on which the
relevant Settlement Amount has been determined.
Since payment under the Credit Linked Notes is linked to the credit of the Reference Portfolio, Holders
will be exposed to the credit risk of the Reference Entity to the full extent of the principal amount of
their Credit Linked Notes. Holders will have no right to vote or exercise any other right or remedy
with respect to any Reference Entity or any of its obligations.
The relevant Issuer, the Guarantor (if applicable), the Dealer(s) and the Calculation Agent have no
duty to disclose use of non-public information with respect to any Reference Entity
The relevant Issuer, the Guarantor (if applicable), the Dealer(s), the Calculation Agent or any of their
respective Affiliates may have acquired, or during the term of the Credit Linked Instruments may
acquire, non-public information with respect to the Reference Entity/Entities that they may not
disclose. Potential investors must therefore make an investment decision based upon their own due
diligence and purchase the Credit Linked Instruments in the knowledge that non-public information
which the relevant Issuer, the Guarantor (if applicable), the Dealer(s), the Calculation Agent or any of
their respective Affiliates may have will not be disclosed to investors. None of the relevant Issuer, the
Guarantor (if applicable), the Dealer(s), the Calculation Agent and any of their respective Affiliates is
under any obligation (i) to review on the Holders' behalf, the business, financial conditions, prospects,
creditworthiness, status or affairs of the Reference Entity/Entities or conduct any investigation or due
diligence into the Reference Entity/Entities or (ii) other than as may be required by applicable rules and
regulations relating to the Credit Linked Instruments, to make available (a) any information relating to
the Instruments or (b) any non-public information they may possess in respect of the Reference
Entity/Entities.
A Credit Event may occur even if the relevant Issuer does not suffer any loss
The relevant Issuer's obligations in respect of Credit Linked Instruments are irrespective of the
existence or amount of the relevant Issuer's and/or any Affiliates' credit exposure to a Reference Entity
and the relevant Issuer and/or any Affiliate need not suffer any loss nor provide evidence of any loss as
a result of the occurrence of a Credit Event.
Risks relating to Physical Settlement
Where the Credit Linked Instruments provide that the applicable Settlement Method is "Physical
Settlement", or a Fallback Settlement Event has occurred and the Fallback Settlement Method is
"Physical Settlement", the relevant Issuer may determine that the specified assets to be delivered are
either (a) assets which (i) for any reason (including, without limitation, failure of the relevant clearing
system or due to any law, regulation, court order or market conditions or the non-receipt of any
requisite consents with respect to the Delivery of assets which are loans) it is impossible or illegal to
deliver on the specified settlement date or (ii) it is impracticable to Deliver on the specified settlement
date because (1) the relevant holder(s) has not taken any action that is deemed necessary by the
79
Risk Factors
Calculation Agent to enable such Delivery or (2) the holder(s) has failed to provide know-yourcustomer information sign and deliver relevant transfer documentation and/or confidentiality
agreement, pay a fee to the agent to effect the transfer and/or provide any other information or
documentation or make any other payment (including taxes) specified under the terms of the relevant
specified asset or as is customary to provide in respect of such specified asset or (b) assets which the
relevant Issuer and/or any Affiliate and/or agent has not received under the terms of any transaction
and/or trading position entered into by the relevant Issuer and/or such Affiliate and/or agent to hedge
the relevant Issuer's obligations in respect of the Credit Linked Instruments.
Any such determination may delay settlement in respect of the Credit Linked Instruments and/or cause
the obligation to deliver such specified assets to be replaced by an obligation to pay a cash amount
which, in either case, may affect the value of the Credit Linked Instruments and, in the case of payment
of a cash amount, will affect the timing of the valuation of such Credit Linked Instruments and as a
result, the amount payable on redemption. Potential investors should review the relevant Conditions
and the applicable Final Terms to ascertain whether and how such provisions should apply to the Credit
Linked Instruments.
In the case of Physical Settlement, where the Reference Obligation is a loan, in order for the Delivery
of the loan (or an interest in the loan) to be effected, the Reference Obligation must be capable of being
transferred to the Holder in accordance with its terms and the Holders must have the capacity to hold
such loan (or loan interest).
In the event that a Governmental Intervention Credit Event or certain Restructuring Credit Events
which, in each case, constitute an Asset Package Credit Event occurs, the assets that may be delivered
to the Holders may include the Asset Package received or retained by a Relevant Holder in place of the
Prior Deliverable Obligation or Package Observable Bond in connection with such Asset Package
Credit Event. Such Asset Package may be comprised of illiquid assets and/or may be worth
significantly less than the original Prior Deliverable Obligation or Package Observable Bond prior to
such Asset Package Credit Event. If the Relevant Holder is offered, receives and retains nothing, the
Asset Package shall be deemed to be zero. In these circumstances, Holders may lose all or a substantial
portion of their investment.
Risks relating to Cash Settlement
If the applicable Settlement Method is "Cash Settlement", or a Fallback Settlement Event has occurred
and the Fallback Settlement Method is "Cash Settlement", then, following the occurrence of a Credit
Event, the Calculation Agent will be required to seek quotations in respect of selected obligations of
the affected Reference Entity. Such quotations may not be available, or the level of such quotations
may be substantially reduced as a result of illiquidity in the relevant markets or as a result of factors
other than the credit risk of the affected Reference Entity (for example, liquidity constraints affecting
market dealers). Accordingly, any quotations so obtained may be significantly lower than the value of
the relevant obligation which would be determined by reference to (for example) the present value of
related cashflows. Quotations may be deemed to be zero in the event that no such quotations are
available. This could result in a lower or zero recovery rate for investors in such Instruments.
If the relevant Issuer has discretion to choose the portfolio of obligations to be valued or delivered
following a Credit Event in respect of a Reference Entity, it is likely that the portfolio of obligations
selected will be obligations of the Reference Entity with the lowest market value that are permitted to
be selected pursuant to the terms of any relevant Credit Linked Instruments. This could result in a
lower recovery value and hence greater losses for investors in such Instruments.
Risks relating to Auction Settlement
If, in relation to any Credit Linked Instruments, "Auction Settlement" is applicable, and a Credit
Derivatives Determinations Committee publishes auction settlement terms in respect of a Reference
Entity (and the relevant seniority of the Reference Obligation), then the Calculation Agent will
determine the Auction Settlement Amount in accordance with such auction settlement terms. The
losses determined pursuant to a market auction process may be greater than the losses which would
have been determined in the absence of the auction. In particular, the auction process may be affected
by technical factors or operational errors which would not otherwise apply or may be the subject of
actual or attempted manipulation. Auctions may be conducted by ISDA or by a relevant third party.
80
Risk Factors
None of the Calculation Agent, the relevant Issuer, the Guarantor (if applicable) and any of their
respective affiliates has any responsibility for verifying that any auction price is reflective of current
market values for establishing any auction methodology or for verifying that any auction has been
conducted in accordance with its rules. If the Dealer, the relevant Issuer, the Guarantor (if applicable),
the Calculation Agent or any of their respective Affiliates participates in any auction for the purposes
of such an auction, then it will do so without regard to the interests of the holders of the Credit Linked
Instruments. Such participation may have a material effect on the outcome of the relevant auction.
Where the terms of any Credit Linked Instruments state "M(M)R Restructuring" to be applicable and
the relevant Credit Event is an M(M)R Restructuring, several concurrent but separate Auctions may
occur with respect to such Reference Entity and such Credit Event. In certain circumstances, the
relevant Issuer may apply specific Parallel Auction Settlement Terms notifying Holders of the relevant
Instruments. The Auction Final Price may be based on one or more obligations of the Reference Entity
having a final maturity date different from the Restructured Bond or Loan and this may affect the
Auction Settlement Amount determined in respect of the Credit Linked Instruments. In the event of a
Governmental Intervention Credit Event or certain Restructuring Credit Events which constitute an
Asset Package Credit Event, the Auction Final Price may be determined by reference to the value of
the Asset Package received or retained by a Relevant Holder in place of the Prior Deliverable
Obligation or Package Observable Bond in connection with such Asset Package Credit Event. Such
Asset Package may be worth significantly less than the original Package Observable Bond prior to such
Asset Package Credit Event and may result in a significantly lower Auction Settlement Amount being
payable to the Holders than would have been the case following the relevant Credit Event had the
Auction Final Price been determined only by reference to Deliverable Obligations.
Unwind costs may be deducted from the amounts payable to Holders of Credit Linked Instruments
Investors should note that amounts paid or delivered in respect of any Credit Linked Instruments may
take into account Unwind Costs which are determined by the Calculation Agent to be equal to all costs,
expenses, taxes and duties, incurred by the relevant Issuer and/or any of its Affiliates and/or agents in
connection with the redemption or cancellation of the Credit Linked Instruments and the related
termination, settlement or re-establishment of any hedge or related trading position.
The determinations of the Calculation Agent are binding on Holders
The determination by the Calculation Agent of any amount or of any state of affairs, circumstance,
event or other matter, or the formation of any opinion or the exercise of any discretion required or
permitted to be determined, formed or exercised by the Calculation Agent shall (in the absence of
manifest error) be final and binding on the relevant Issuer, the Guarantor (if applicable) and the
holders. In performing its duties pursuant to the Credit Linked Instruments, the Calculation Agent shall
act in its sole and absolute discretion. In making any determinations expressed to be made by it, for
example as to substitute Reference Obligations or Successors, the Calculation Agent is under no
obligation to consider the interests of the relevant Issuer, the Guarantor (if applicable) or the Holders.
If the Final Terms specify that "Calculation Agent Determination" is applicable, the relevant Issuer and
the Calculation Agent may, but will not be required to apply any DC Resolution to any Credit Linked
Instruments unless the Calculation Agent notifies the relevant Issuer that any DC Resolution shall
apply to such Credit Linked Instruments.
Holders should note that the Calculation Agent may modify the terms of any Credit Linked Instruments
without the consent of the Holders of such Instruments to account for any DC Resolution.
Risks relating to the Credit Derivatives Determinations Committees
The institutions represented on the Credit Derivatives Determinations Committee owe no duty to the
holders of Credit Linked Instruments and have the ability to make determinations that may materially
affect the holders of Credit Linked Instruments. The Credit Derivatives Determinations Committee
will be able to make determinations without action or knowledge of the holders of Credit Linked
Instruments. Holders of Credit Linked Instruments will have no role in the composition of the Credit
Derivatives Determinations Committee. Separate criteria apply with respect to the selection of dealer
and non-dealer institutions to serve on the Credit Derivatives Determinations Committee and the
holders of Credit Linked Instruments will have no role in establishing such criteria. In addition, the
composition of the Credit Derivatives Determinations Committee will change from time to time in
accordance with the DC Rules, as the term of an institution may expire or an institution may be
81
Risk Factors
required to be replaced. To the extent applicable, the Credit Linked Instruments will be subject to the
determinations made by such selected institutions in accordance with the DC Rules.
Holders of Credit Linked Instruments will have no recourse against either the institutions serving on
the Credit Derivatives Determinations Committee or any external reviewers. Institutions serving on the
Credit Derivatives Determinations Committee and the external reviewers, among others, disclaim any
duty of care or liability arising in connection with the performance of duties or the provision of advice
under the DC Rules, except in the case of gross negligence, fraud or wilful misconduct. Furthermore,
the institutions on the Credit Derivatives Determinations Committee do not owe any duty to the holders
of Credit Linked Instruments and the holders of Credit Linked Instruments will be prevented from
pursuing claims with respect to actions taken by such institutions under the DC Rules.
Holders of Credit Linked Instruments should also be aware that institutions serving on the Credit
Derivatives Determinations Committee have no duty to research or verify the veracity of information
on which a specific determination is based. In addition, the Credit Derivatives Determinations
Committee is not obligated to follow previous determinations and, therefore, could reach a conflicting
determination on a similar set of facts. If the relevant Issuer, the Guarantor (if applicable) or the
Calculation Agent or any of their respective Affiliates serve as a member of the Credit Derivatives
Determinations Committee at any time, then they will act without regard to the interests of the holders
of Credit Linked Instruments.
Holders of Credit Linked Instruments are responsible for obtaining information relating to deliberations
of the Credit Derivatives Determinations Committee. Notices of questions referred to the Credit
Derivatives Determinations Committee, meetings held to deliberate such questions and the results of
binding votes will be published on the ISDA website and none of the relevant Issuer, the Guarantor (if
applicable), the Calculation Agent and any of their respective affiliates shall be obliged to inform the
holders of Credit Linked Instruments of such information (other than as expressly provided in respect
of such Instruments).
Holders of Credit Linked Instruments should also be aware that following the occurrence of a Credit
Event Resolution Request Date in respect of a Reference Entity, any obligation of the relevant Issuer to
redeem or cancel or otherwise settle any such Instruments or pay any amount in respect thereof may be
suspended until the occurrence of a DC Credit Event Announcement, a DC No Credit Event
Announcement or a DC Credit Event Question Dismissal.
Risks relating to the Physical Settlement Matrix
Holders of Credit Linked Instruments should be aware that the terms applicable to each Reference
Entity incorporate the terms of the Physical Settlement Matrix for the Transaction Type specified in
respect of such Reference Entity.
Risks relating to Short Credit Linked W&C Instruments
Holders of Short Credit Linked W&C Instruments should be aware that under the terms of such Credit
Linked Instruments the Holders are purchasing credit protection on the relevant Reference
Entity/Entities and consequently they may only receive a payout where such Short Credit Linked W&C
Instruments are exercised following the occurrence of a Credit Event. If no Credit Event occurs during
the life of the Short Credit Linked W&C Instruments then such Short Credit Linked W&C Instruments
shall expire worthless unless otherwise provided in the terms of such Short Credit Linked W&C
Instruments. In certain circumstances where an M(M)R Restructuring Credit Event has occurred,
Holders may be entitled to deliver a Credit Event Notice to the relevant Issuer. None of the relevant
Issuer, the Guarantor, the Calculation Agent and any of their respective affiliates shall have any
obligation to inform the Holders at any time when they may be entitled to deliver such Credit Event
Notice.
Risks relating to amendments in accordance with market convention or otherwise
Calculation Agent's powers to amend terms without Holders' consent
Holders should note that the Calculation Agent may (but shall not be obliged to) from time to time,
without obtaining their consent or consulting them:
82
Risk Factors
(i)
amend fundamental credit-linked provisions (including but not limited to the applicable
Transaction Type, Credit Events, Deliverable Obligation Category, Deliverable Obligation
Characteristics and deliverability, Reference Obligation, Successor and other provisions) in
the Credit Linked Note Conditions and Credit Linked W&C Conditions or other provisions of
the Instruments to correspond with those specified as applicable for a particular Reference
Entity in the most recently published ISDA Credit Derivatives Definitions, ISDA Credit
Derivatives Physical Settlement Matrix version, SRO List and/or prevailing trading standards
applicable to such Reference Entity;
(ii)
amend any provision of the Credit Linked Note Conditions, Credit Linked W&C Conditions
or the Instruments to incorporate and/or reflect further or alternative documents from time to
time published by ISDA with respect to credit derivative transactions and/or the operation or
application of determinations by the ISDA Credit Derivatives Determinations Committees
which the Calculation Agent determines are necessary to reflect market practice for credit
derivative transactions; and/or
(iii)
in circumstances where a Reference Entity has proposed an exchange of all or substantially all
of the obligations of such Reference Entity into cash, securities and/or other assets, elect to
make certain amendments to any provision of the Credit Linked Note Conditions, the Credit
Linked W&C Conditions or the Instruments to reflect or account for such exchange, regardless
of the credit derivatives definitions or trading standards applicable to such Reference Entity, as
set out in Credit Linked Note Condition 25 (Change in Market Convention) and Credit Linked
W&C Condition 23 (Change in Market Convention).
Risks relating to Saudi Share Linked Warrants
No issuer of the relevant Share(s) will have participated in the preparation of the applicable Final
Terms or in establishing the terms of the Saudi Share Linked Warrants
No issuer of the relevant Share(s) will have participated in the preparation of the applicable Final
Terms or in establishing the terms of the Saudi Share Linked Warrants and none of MLICo., the
Guarantor and any Dealer will make any investigation or enquiry in connection with such offering with
respect to any information concerning any such issuer of Shares contained in such Final Terms or in the
documents from which such information was extracted. Neither MLICo. nor the Guarantor controls
any issuer of the relevant Share(s) or is responsible for any disclosure made by any issuer of the
relevant Share(s). Consequently, there can be no assurance that all events occurring prior to the
relevant issue date (including events that would affect the adequacy, accuracy or completeness of the
publicly available information described in this paragraph or in any applicable Final Terms) that would
affect the trading price of the relevant Share(s) will have been publicly disclosed. Subsequent
disclosure of any such events or the disclosure of or failure to disclose material future events
concerning such an issuer of relevant Share(s) could affect the trading price of the Share(s) and
therefore the trading price of the Saudi Share Linked Warrants or amounts paid or delivered under the
Saudi Share Linked Warrants.
Exposure to value of Shares and notional liquidation of the Shares over a valuation period
Saudi Share Linked Warrants are issued at a price linked to the value of the underlying Shares on
particular trading days during a fixing period. On settlement a Holder will not receive the principal
amount of its investment but instead will receive an amount calculated as the weighted average sale
price of the Shares over a valuation period commencing on the Valuation Date (or such other price as
may be specified in the applicable Final Terms) less deductions for local taxes (if any) and other costs
which would have been incurred had the Shares been held by a Saudi resident investor directly and less
deductions for any other taxes and costs associated with MLICo.'s hedging position. The valuation
period will be the number of days commencing on/and including the valuation date that would have
been required for a holder of the Shares to complete the sale of the equivalent position on the securities
exchange on which such Shares are primarily traded. Depending on the performance of the Shares, the
value of the Shares at settlement may be substantially lower than when the Saudi Share Linked
Warrants were initially purchased. There is no assurance that the Cash Settlement Amount on
settlement will be equal to or more than the purchase price of the Saudi Share Linked Warrants. In the
worst case, the Saudi Share Linked Warrants may settle at zero, exposing investors to the full loss of
their initial investment. If investors have any doubt on the risk level implied, they should consult a
83
Risk Factors
professional investment adviser. Further, generally returns to investors in Saudi Share Linked
Warrants will be payable in U.S. Dollars or another currency other than the currency in which the
Shares are denominated. Changes in the rate of exchange between the currency in which the
underlying Shares are denominated and that in which returns are payable to Holders will affect the
return to investors. See "Exposure to changes in the rate of exchange between the currency of the
Shares and Settlement Currency" below.
Factors affecting the performance of Shares may adversely affect the value of the Saudi Share
Linked Warrants
The performance of Shares is dependent upon macroeconomic factors, such as interest and price levels
on the capital markets, currency developments, political factors and company-specific factors such as
earnings position, market position, risk situation, shareholder structure and distribution policy. These
factors are not within MLICo.'s or the Guarantor's control and may result in a decline in the value of
the Saudi Share Linked Warrants. Neither MLICo. nor the Guarantor makes any representation or
warranty about, or guarantee of, the performance of the Shares. Past performance of the Shares cannot
be considered to be either a guarantee of, or necessarily a guide to, future performance. The value of
the Shares may go down as well as up during the term of the Saudi Share Linked Warrants. Saudi
Share Linked Warrants are linked to Shares listed in an emerging market which may make the Shares
less liquid and more volatile than investments in more established markets. See "Risks relating to
Instruments which are linked to emerging market Reference Item(s)" above.
Exposure to changes in the rate of exchange between the currency of the Shares and Settlement
Currency
Where the currency of the Shares is different from that of the Settlement Currency, Holders of Saudi
Share Linked Warrants linked to such Shares may be exposed not only to the performance of the
Shares but also to the performance of the relevant foreign currency of the Shares, which cannot be
predicted. Saudi Share Linked Warrants may be linked to the Saudi Arabian Riyal which may
experience volatility and uncertainty as to its future levels or its rate of exchange as against other
currencies (including the Settlement Currency). See "Risks relating to Instruments which are linked to
emerging market Reference Item(s)" and "Factors affecting the performance of the relevant foreign
exchange rate may adversely affect the value of the Instruments" above.
Holders have no claim against the issuer of the relevant Share(s) or recourse to the Shares or the
Hedge Positions
Saudi Share Linked Warrants do not represent a claim against or an investment in any issuer of the
relevant Share(s) and investors will not have any right of recourse under the Saudi Share Linked
Warrants to any such company or the Shares or MLICo.'s Hedge Positions. Saudi Share Linked
Warrants are not in any way sponsored, endorsed or promoted by any issuer of the relevant Share(s)
and such companies have no obligation to take into account the consequences of their actions for any
Holders. Accordingly, the issuer of a Share may take any actions in respect of such Share without
regard to the interests of the investors in the Saudi Share Linked Warrants, and any of these actions
could adversely affect the market value of the Saudi Share Linked Warrants.
Determinations made by the Calculation Agent in respect of Potential Adjustment Events, Merger
Events, Tender Offers, De-listings, Nationalisations, Insolvencies and Additional Disruption Events
may have an adverse effect on the value of the Saudi Share Linked Warrants
Upon determining that a Potential Adjustment Event, Merger Event, Tender Offer, De-listing,
Nationalisation, Insolvency or Additional Disruption Event has occurred in relation to an underlying
Share or Share Company, the Calculation Agent has broad discretion to make certain determinations to
account for such event including to (i) make adjustments to the terms of the Saudi Share Linked
Warrants, (ii) distribute additional Instruments or cash payments to Holders and/or (iii) (in the case of a
Merger Event, Tender Offer, De-listing, Nationalisation, Insolvency or Additional Disruption Event)
cause early settlement of the Saudi Share Linked Warrants, any of which determinations may have an
adverse effect on the value of the Saudi Share Linked Warrants.
Potential Adjustment Events include (a) a sub-division, consolidation or re-classification of the Shares,
(b) an extraordinary dividend, (c) a call of the Shares that are not fully paid, (d) a repurchase by the
84
Risk Factors
issuer, or an affiliate thereof, of the Shares, (e) a separation of rights from the Shares or (f) any event
having a dilutive or concentrative effect on the value of the Shares. Additional Disruption Events
include (a) (i) a requirement of the Capital Market Authority of the Kingdom of Saudi Arabia to
terminate or otherwise modify any hedge position relating to the Saudi Share Linked Warrants or the
imposition by the Capital Market Authority of any qualitative or quantitative limitation or any other
requirements in relation to any Hedge Positions and (ii) a trading failure and (b) if specified to be
applicable in the applicable Final Terms, (i) a change in applicable law since the Trade Date that makes
it (A) illegal to hold, acquire or dispose of the Shares or (B) more expensive for MLICo. to hedge its
obligations under the relevant Saudi Share Linked Warrants, (ii) an insolvency filing by or on behalf of
any issuer of the relevant Share(s) and/or (iii) a disruption or increased cost of hedging.
Holders will have no voting rights in respect of the relevant Shares
Holders of Saudi Share Linked Warrants will not have voting rights or any other rights with respect to
the relevant Shares to which such Saudi Share Linked Warrants relate.
Consequences of CMA Resolution: including potential identification of Holders, unilateral
amendments and/or early termination and transfer restrictions
The Capital Market Authority regulates share dealing and associated activities in the Kingdom of Saudi
Arabia. Pursuant to Capital Market Authority Board of Commissioners resolution number 3-10-2010
as issued by the Capital Market Authority in the "Circular from the CMA regarding its approval for
Authorized Persons to Enter into Swap Agreements" which amends resolution number 2-28-2008 of
the Capital Market Authority Board of Commissioners (the "CMA Resolution"), "Authorised Persons"
may enter into derivative transactions with non-resident foreign investors, whether institutions or
individuals, to transfer certain economic benefits of Saudi companies' shares listed on the Saudi Stock
Exchange (Tadawul), while the shares are registered in the name of the relevant Authorised Person, all
on the terms and conditions set forth in the CMA Resolution. A copy of the CMA Resolution may be
obtained on request from the relevant Dealer.
In respect of any Saudi Share Linked Warrants, MLICo. may (but shall be under no obligation under
the Saudi Share Linked Warrants to) establish Hedge Positions in respect of its obligations under such
Saudi Share Linked Warrants including the appointment of an "Authorised Person" as Hedging Entity
which may register the relevant Shares in its name. Any such Hedge Positions would be subject to the
terms and conditions of the CMA Resolution. In order to ensure compliance with the CMA
Resolution, the relevant "Authorised Person" must enter into a swap agreement in a form consistent
with the terms of the CMA Resolution with a term not exceeding four years and each purchaser of
Saudi Share Linked Warrants will be required to make the additional disclosures and the authorisations,
representations, confirmations and undertakings in the "Form of the Investor Representation Letter in
respect of Saudi Share Linked Warrants" (substantially in the form set out in Schedule 25 to the
English Law Agency Agreement) to MLICo., the Guarantor and the party specified as the "Authorised
Person" including (amongst others):
(i)
representing that the purchaser is a "non-resident foreign investor" for the purposes of the
CMA Resolution and is the ultimate beneficial owner of such Warrants;
(ii)
authorising the relevant "Authorised Person" to disclose such purchaser's name, country of
origin (being its nationality or country of incorporation (as applicable)), details of Warrant
holdings (including the quantity of Shares linked to such Warrants) and any other information
requested by the Capital Market Authority to the Capital Market Authority; and
(iii)
acknowledging that the Calculation Agent under the Saudi Share Linked Warrants may in its
sole and absolute discretion adjust the terms and conditions of the Saudi Share Linked
Warrants and/or cause the cancellation of the Saudi Share Linked Warrants (in each case,
without the consent of Holders), as applicable, in order to ensure compliance with any
limitations or other requirements that the Capital Market Authority may impose from time to
time.
Any adjustment and/or early termination of Saudi Share Linked Warrants (as described in (iii) above)
may result in the loss of some or all of a purchaser's investment.
85
Risk Factors
The requirement for all purchasers to provide a letter in the "Form of the Investor Representation Letter
in respect of Saudi Share Linked Warrants" may adversely affect the ability of an investor to transfer
any Saudi Share Linked Warrant.
Risks relating to Secured W&C Instruments
Holders of Secured W&C Instruments do not have recourse to the Guarantees
The Secured W&C Instruments will be limited recourse obligations of MLICo. secured by a separate
Collateral Pool for each Series and will not be obligations or responsibilities of, or guaranteed by, the
Guarantor or any other person or entity. Therefore a Holder of Secured W&C Instruments will not be
able to claim under the terms of the Guarantees against the Guarantor for any unpaid amounts and any
such shortfall will not constitute an unsecured claim by such Holder of Secured W&C Instruments
against the Guarantor.
Limitations of the Security Interest under each Deed of Charge
The security granted by the Secured W&C Instruments Collateral Provider under each Deed of Charge
is a security interest over (i) the Collateral Account in which the Collateral Assets are held (although
investors should note the remaining provisions of this section relating to Collateral Assets held through
a clearing system) and does not extend to any interest or distributions paid on such Collateral Assets (to
the extent such amounts are not held in the relevant Collateral Account) and (ii) the Secured W&C
Instruments Collateral Provider's rights under the Charged Documents, to the extent those rights relate
to the relevant Series of Secured W&C Instruments.
No security interest will be granted by the Secured W&C Instruments Collateral Provider over any of
its rights under any agreement under which it acquires any Collateral Assets (including, without
limitation, any hedging agreements). This means that the Security Agent will not have the ability to
compel the Secured W&C Instruments Collateral Provider to enforce its rights (or to enforce such
rights on behalf of the Secured W&C Instruments Collateral Provider) under any agreement against a
counterparty to such agreement.
The Collateral Assets will be secured in favour of the Secured Parties pursuant to a fixed charge which
is intended to create a security interest in the Collateral Assets in favour of the Secured Parties to
secure MLICo.'s obligations in respect of the relevant Series of Secured W&C Instruments. However,
where the Collateral Assets are held through a clearing system (either directly or through a subcustodian), the interests which the Collateral Agent will hold and which are traded in the clearing
system are not the physical Collateral Assets themselves but a series of contractual rights against such
clearing system. These rights consist of (a) the Collateral Agent's rights as a participant against the
clearing system, (b) the rights of the clearing system against the common depositary and (c) the rights
of the common depositary against the Secured W&C Instruments Collateral Provider of the Collateral
Assets. As a result, where the Collateral Assets are held in a clearing system, the security in respect of
a Series of Secured W&C Instruments may take the form of an assignment of the Secured W&C
Instruments Collateral Provider's rights against the Collateral Agent under the relevant Triparty
Account Control Agreement rather than a charge over the Collateral Assets themselves.
A court may characterise the security created under a Deed of Charge as a floating charge rather
than a fixed charge
Notwithstanding that the Collateral Provider purports to create a "fixed" charge over the collateral
under the Deed of Charge, there is a risk that a court would characterise it as a "floating" charge. The
distinction between a fixed charge and a floating charge depends on a number of factors, including the
extent of the control exercised over the collateral by the collateral taker. It is a mixed question of fact
and law. If a fixed charge is recharacterised as floating charge, the claims of (a) the unsecured creditors
of the Collateral Provider in respect of that part of the chargor's net property which is ringfenced under
the Insolvency Act 1986 (the "Insolvency Act") and (b) certain statutorily defined preferential
creditors of the Collateral Provider, would have priority over the rights of the Security Agent to the
proceeds of enforcement of the relevant Collateral Assets. As a result, the full amount of the proceeds
of enforcement of the relevant Collateral Assets may not be available to pay holders of the Secured
W&C Instruments, resulting in a loss for investors.
86
Risk Factors
A failure to register the security created under a Deed of Charge could mean that it is void against a
liquidator, administrator or creditor of the Secured W&C Instruments Collateral Provider.
In accordance with section 859A of the Companies Act 2006, relevant particulars of the Deed of
Charge (together with a certified copy of the relevant instrument) must be delivered to the Registrar of
Companies for registration within 21 days beginning with the date after the day on which the relevant
security is created, failing which the security will be void against a liquidator, administrator and any
creditor of the Secured W&C Instruments Collateral Provider, except where the Deed of Charge
constitutes a "financial collateral arrangement" under the Financial Collateral Arrangements (No. 2)
Regulations 2003 (the "Financial Collateral Regulations"), in which case the registration requirement
is disapplied pursuant to the Financial Collateral Regulations. Uncertainty in respect of the meaning of
key terms in the Financial Collateral Regulations including "possession" and "control" means that there
is a legal risk that a court would not characterise the security granted under the Deed of Charge as a
financial collateral arrangement. If the Deed of Charge were not to be registered in accordance with
section 859A of the Companies Act and did not constitute a financial collateral arrangement under the
Financial Collateral Regulations, investors would be exposed to the potentially severe consequences of
a failure to register.
Holders are exposed to the operational risks related to the collateral arrangements and the structure
of the Collateral Accounts
The Collateral Agent may, to the extent permitted in accordance with the terms of the Custodian
Agreement and the relevant Triparty Account Control Agreement entered into with the Secured W&C
Instruments Collateral Provider, hold certain cash and/or securities sub-accounts with other custodial
entities ("sub-custodians"). Collateral Assets which, pursuant to the terms of the Secured W&C
Instruments Conditions, the Custodian Agreement and the relevant Triparty Account Control
Agreement, are to be held with the Collateral Agent in a Collateral Account may therefore in practice
be held by the Collateral Agent in sub-accounts with sub-custodians. Where the Collateral Assets are
held by a sub-custodian on behalf of the Collateral Agent, they will be held pursuant to separate
agreements which may vary in relation to any particular sub-custodian and which may not be governed
by English law. Security interests in respect of the Collateral Assets also may be created pursuant to
separate agreements which may not be governed by English law. A sub-custodian, securities depositary
or clearing system may have a lien or rights of set-off with respect to the Collateral Assets held with
them in relation to any of their fees and/or expenses. If such fees and/or expenses are not paid, such
sub-custodian, securities depositary or clearing system may exercise such lien or rights of set-off and
this may adversely affect the amounts that are available for distribution to Holders.
The Collateral Agent shall exercise reasonable care in selecting and continuing to use a sub-custodian
in each relevant country in light of customary or established rules, practices and procedures then
prevailing in each such country, but shall otherwise have no responsibility with respect to the
performance by such sub-custodian (other than a sub-custodian that is an affiliate of the Collateral
Agent) of its duties or in the event of its insolvency or dissolution. Accordingly, a Holder of Secured
W&C Instruments will be exposed to, amongst other things, the risk of any potential operational
disruption or any other adverse impact related to the Collateral Agent and any sub-custodian (including
disruption caused by any insolvency proceedings which may be commenced in respect of the Collateral
Agent and/or any such sub-custodians).
Neither MLICo. nor any Holder shall be entitled to enforce a Triparty Account Control Agreement or
the Custodian Agreement or to proceed directly against the Collateral Agent or the Custodian to
enforce the terms of the relevant Triparty Account Control Agreement or the Custodian Agreement, as
applicable. Neither the Collateral Agent nor the Custodian has any liability to MLICo. or any Holder as
to the consequence of any actions taken by the Collateral Agent or Custodian, as applicable.
The Collateral Assets may be insufficient to pay all amounts due to Holders of the Secured W&C
Instruments
The security provided for a Series of Secured W&C Instruments is limited to the Collateral Assets
constituting the Collateral Pool applicable to such Series. The amount of Collateral Assets constituting
such Collateral Pool will depend on, amongst other things, in respect of the Secured W&C Instruments
issued (a) under the Additional Terms and Conditions for Secured Static/Floating W&C Instruments set
out in Annex 13 of the Offering Circular ("Secured Static/Floating W&C Instruments Conditions"),
87
Risk Factors
the MTM Collateral Specified Percentage and the Static Collateral Specified Percentage specified in
the applicable Final Terms and (b) under the Additional Terms and Conditions for Secured Fully
Floating W&C Instruments set out in Annex 14 to the Offering Circular ("Secured Fully Floating
W&C Instruments Conditions"), the Collateralisation Percentage specified in the applicable Final
Terms and/or whether or not "Collateral Valuation at Nominal Value" is specified to be applicable in
the applicable Final Terms. There is no guarantee that the Collateral Assets will be sufficient to ensure
that, following enforcement of a Deed of Charge, the amounts available for distribution or the value of
the Collateral Assets available to be delivered by the Security Agent will be sufficient to pay all
amounts due to a Holder of Secured W&C Instruments in respect of the relevant Series of Secured
W&C Instruments (see "Shortfall on Realisation of Collateral Assets and Limited Recourse of Holders
of Secured W&C Instruments"). In addition the claim of a Holder of Secured W&C Instruments may
differ from the value of the Collateral Assets due to the application and distribution of proceeds on
enforcement in accordance with the Order of Priority specified in the applicable Final Terms or if
Collateral Assets are liquidated and realised by the Security Agent or the Disposal Agent on its behalf
rather than being physically delivered due to a Physical Delivery of Collateral Assets Disruption Event
(see Secured Static/Floating W&C Instruments Conditions 6.7 and 6.10 and Secured Fully Floating
W&C Instruments Conditions 6.6 and 6.9).
A lack of diversification of Collateral Assets in a Collateral Pool may impact the value of the
Collateral Assets
If the Secured Static/Floating W&C Instruments Conditions apply to a Series of Secured W&C
Instruments, the Collateral Assets in the Collateral Pool on which such Series of Secured W&C
Instruments are secured in respect of (a) the MTM Collateral Assets, may be limited to one or a few
assets or types of assets depending on the relevant Eligibility Criteria, and (b) the Static Collateral
Assets, if comprising of a single debt security, will be limited to one type of asset or, if comprising of a
basket of debt securities, will be limited to a few assets of the same type.
If the Secured Fully Floating W&C Instruments Conditions apply to a Series of Secured W&C
Instruments, the Collateral Assets in the Collateral Pool on which the Series of Secured W&C
Instruments are secured may be limited to one or a few assets or types of assets depending on the
relevant Eligibility Criteria.
Low diversification of Collateral Assets in a Collateral Pool may increase the risk that the value of
Collateral Assets deliverable on early settlement (if physical settlement is applicable) and that the
proceeds of realisation of the Collateral Assets may be less than the sums due to the relevant Holder of
Secured W&C Instruments under the relevant Secured W&C Instruments. If the Collateral Pool is
comprised of a limited number of different types of assets, any depreciation in the value of such assets
and the realisation or delivery, as the case may be, of the Collateral Assets in the corresponding
Collateral Pool will have a proportionally larger impact on any shortfall as the amount recovered in
respect of the Collateral Assets on their sale will be dependent on the then current market value of a
smaller range of Collateral Assets.
None of MLICo., the Secured W&C Instruments Collateral Provider, the Security Agent or the
Collateral Agent is under any obligation to ensure that any relevant Eligibility Criteria provide for the
diversification of Collateral Assets in a Collateral Pool.
Collateral Assets may be illiquid
Depending on the relevant Eligibility Criteria, certain of the Collateral Assets may not be admitted to
trading on any public market and may be illiquid and not easily realisable in certain market
circumstances. Where there is limited liquidity in the secondary market relating to Collateral Assets, in
the event of enforcement the Security Agent, or the Disposal Agent on its behalf, may not be able to
readily sell such Collateral Assets to a third party or may only be able to sell such Collateral Assets at a
discounted value.
Potential correlation between the value of the Collateral Assets and the creditworthiness of certain
entities
Depending on the Eligibility Criteria applicable to a Series of Secured W&C Instruments, the
Collateral Assets relating to such Series could be composed of assets whose value may be positively
88
Risk Factors
correlated with the creditworthiness of MLICo. and the Secured W&C Instruments Collateral Provider
in that adverse economic factors which apply to one may apply to the others, or the default or decline
in the creditworthiness of one may itself adversely affect the others.
Where the value of the Collateral Assets is positively correlated with the creditworthiness of MLICo.
and the Secured W&C Instruments Collateral Provider, for example where the Collateral Assets consist
of securities (such as debt or equities) issued by other financial institutions, a default by MLICo. in
relation to its obligations under the Secured W&C Instruments may be associated with a fall in the
value of Collateral Assets securing such Secured W&C Instruments.
Difference between the calculation of Marked-to-Market Derivative Hedge Value and Secured W&C
Instrument Market Value and calculation of a Secured W&C Instrument's value for other purposes
The Marked-to-Market Derivative Hedge Value is the market value of the Derivative Hedge in respect
of the Secured W&C Instruments to which the Secured Static/Floating W&C Instruments Conditions
apply, as determined by the Secured W&C Instruments Valuation Agent as the present value of the
future payment obligations of the Issuer under such Secured W&C Instruments minus the present value
of the future cash flows of the Static Collateral Assets that secure such Secured W&C Instruments,
taking into account such factors as the Secured W&C Instruments Valuation Agent considers to be
appropriate in its discretion, including without limitation:
(a)
spot and forward market prices or values for the underlying asset(s) of the Derivative Hedge
and other relevant economic variables (including, without limitation, interest rates and, if
applicable, exchange rates) at the relevant time;
(b)
the correlation between the market prices or value of the underlying asset(s) of the Derivative
Hedge and other relevant economic variables at the relevant time;
(c)
historic and implied volatility of the market prices or value of the underlying asset(s) of the
Derivative Hedge;
(d)
the remaining time until expiry of the Derivative Hedge;
(e)
internal pricing models;
(f)
prices at which other market participants might bid for options or other instruments similar to
the Derivative Hedge; and
(g)
the valuation using relevant economic variables of the cash flows and/or coupon payments of
the Static Collateral Assets that secure such Secured W&C Instruments.
The Derivative Hedge hedges part of MLICo.'s payment obligations under the Secured W&C
Instruments. However, there may be a difference between the sum of the Marked-to-Market Derivative
Hedge Value plus the nominal amount of the Secured W&C Instruments and the value of the Secured
W&C Instrument as determined for other purposes, including, without limitation, any determination as
to its Cash Settlement Amount.
The Secured W&C Instrument Market Value is the market value of the relevant Secured W&C
Instrument to which the Secured Fully Floating W&C Instruments Conditions apply, which will take
into account MLICo.'s creditworthiness and will be determined by the Secured W&C Instruments
Valuation Agent by reference to such factors as the Secured W&C Instruments Valuation Agent
considers to be appropriate including, without limitation:
(a)
market prices or values for any underlying asset(s) to which the Secured W&C Instruments are
linked and other relevant economic variables (such as interest rates and, if applicable,
exchange rates) at the relevant time;
(b)
the remaining term of the Secured W&C Instruments until their scheduled exercise and final
settlement;
(c)
internal pricing models; and
89
Risk Factors
(d)
prices at which other market participants might bid for securities similar to the Secured W&C
Instruments.
There may be a difference between the Secured W&C Instrument Market Value and the value of the
Secured W&C Instrument as determined for other purposes, including, without limitation, any
determination as to its Cash Settlement Amount.
The value of the Collateral Assets in a Collateral Pool may decline prior to any adjustment
If the Secured Static/Floating W&C Instruments Conditions apply to a Series of Secured W&C
Instruments, on each Collateral Test Date, the Collateral Agent shall verify whether (a) the Pool
Aggregate Nominal Amount is greater than or equal to the Static Collateral Specified Percentage of the
Required Static Collateral Nominal Amount for a Collateral Pool (the "Static Collateral Test") and (b)
the Collateral Value is greater than or equal to the MTM Collateral Specified Percentage of the
Required Collateral Value for a Collateral Pool (the "MTM Collateral Test").
If the Secured Fully Floating W&C Instruments Conditions apply to a Series of Secured W&C
Instruments, on each Collateral Test Date, the Collateral Agent shall verify whether the Collateral
Value is greater than or equal to the Required Collateral Value for a Collateral Pool (the "Collateral
Test").
Where it is not possible to provide such verification or the Static Collateral Test, the MTM Collateral
Test or the Collateral Tests, as applicable, are not met, the Secured W&C Instruments Collateral
Provider may be required to deliver, or procure the delivery of, additional or replacement Collateral
Assets to the Collateral Account such that after such adjustment of Collateral Assets, the Static
Collateral Test, the MTM Collateral Test or the Collateral Test, as applicable, will be satisfied. Prior to
such adjustment, the Holders of Secured W&C Instruments will be exposed to a decline in the Pool
Aggregate Nominal Amount or the Collateral Value, as applicable, and there is also a risk that the
Collateral Assets may not meet the relevant Eligibility Criteria.
Substitution of Collateral Assets may affect the value of the Collateral Assets in a Collateral Pool
If the Secured Static/Floating W&C Instruments Conditions apply to a Series of Secured W&C
Instruments, the Secured W&C Instruments Collateral Provider may withdraw and/or replace MTM
Collateral Assets from any Collateral Account provided that following such adjustment the applicable
MTM Collateral Test continues to be satisfied. Neither the Issuer nor the Secured W&C Instruments
Collateral Provider are entitled to withdraw and/or replace Static Collateral Assets, provided that the
Secured W&C Instruments Collateral Provider may withdraw from the relevant Collateral Account an
aggregate nominal amount of Static Collateral Assets equal to the sum of the Notional Amount of each
Non-Waived W&C Instrument that is converted into a Waived W&C Instrument if, following such
withdrawal, (a) the Collateral Test continues to be satisfied, and (b) if the Eligible Static Collateral
Assets specified in the Final Terms are a Basket of Eligible Debt Securities, the aggregate nominal
amount of each Eligible Debt Security is equal to the percentage weighting for each such Eligible Debt
Security within the Basket of Eligible Debt Securities, as specified in the applicable Final Terms.
If the Secured Fully Floating W&C Instruments Conditions apply to a Series of Secured W&C
Instruments, the Secured W&C Instruments Collateral Provider may withdraw and/or replace
Collateral Assets from any Collateral Account provided that following such adjustment the applicable
Collateral Test continues to be satisfied.
The Secured W&C Instruments Collateral Provider may give instructions for the substitution of MTM
Collateral Assets or Collateral Assets, as applicable, any number of times over the term of the Secured
W&C Instruments and is not required to obtain the consent of any other party prior to effecting the
proposed substitution of MTM Collateral Assets or Collateral Assets, as applicable. Until any further
adjustments to the MTM Collateral Assets or Collateral Assets, as applicable, have occurred, the value
of the MTM Collateral Assets or Collateral Assets held in a Collateral Account securing a Series of
Secured W&C Instruments may be less than it would have been were it not for the substitution of the
MTM Collateral Assets or Collateral Assets, as applicable. Also, in spite of the contractual restrictions
on the Secured W&C Instruments Collateral Provider's ability to withdraw and/or replace MTM
Collateral Assets, Static Collateral Assets and Collateral Assets, there are no practical restrictions on
90
Risk Factors
the Secured W&C Instruments Collateral Provider's ability to withdraw assets from the scope of the
security.
MLICo. may cancel and early settle the Secured W&C Instruments upon a Collateral Disruption
Event
Secured W&C Instruments will be subject to Collateral Disruption Events, including, but not limited
to: (a) the Secured W&C Instruments Collateral Provider being unable to (i) acquire, establish, reestablish, substitute, maintain, unwind or dispose of any transaction(s) or asset(s) or futures or option
contacts it deems necessary to obtain Collateral Assets, or (ii) freely realise, recover, remit, receive, repatriate or transfer the proceeds of any such transaction(s) or asset(s) or futures or option contract(s) or
any relevant hedge positions relating to the Collateral Assets; (b) the Secured W&C Instruments
Collateral Provider incurring a material increase in certain costs related to (a)(i) and (a)(ii); or (c) the
Issuer is unable to find a substitute or replacement Collateral Arrangement Party or Security Agent.
This may increase the possibility (in comparison with W&C Instruments which are not secured) of the
Secured W&C Instruments being cancelled and settled early. Upon the occurrence of a Collateral
Disruption Event, MLICo. may, in its sole and absolute discretion, cancel and settle all of the relevant
Secured W&C Instruments (a) in respect of Secured W&C Instruments to which the Secured
Static/Floating W&C Instruments Conditions apply, at their Early Settlement Amount (CDE) and,
where Physical Delivery of Static Collateral Assets is specified to apply in the applicable Final Terms,
deliver the Entitlement (CDE); or (b) in respect of Secured W&C Instruments to which the Secured
Fully Floating W&C Instruments Conditions apply, at their Early Settlement Amount.
Further, following the cancellation and early settlement of the Secured W&C Instruments, a Holder of
Secured W&C Instruments may not be able to reinvest the settlement proceeds at an equivalent rate of
return to the Secured W&C Instruments being settled and may only be able to do so at a significantly
lower rate or in worse investment conditions. Potential investors should consider reinvestment risk in
light of other available investments at the time they contemplate investing in Secured W&C
Instruments.
The Secured W&C Instruments will be automatically cancelled and settled early upon a Collateral
Trigger Event
Under the Secured Static/Floating W&C Instruments Conditions, if "Collateral Trigger Event" is
specified to be applicable in the applicable Final Terms, the relevant Secured W&C Instruments will be
subject to early cancellation following the occurrence of a Collateral Trigger Event. The Secured
W&C Instruments Valuation Agent shall determine that a Collateral Trigger Event has occurred if, at
any time during business hours on a London business day during the relevant observation period, the
value of a Secured W&C Instrument of the relevant series is (a) if "less than the Collateral Trigger
Level" is specified in the applicable Final Terms, less than the Collateral Trigger Level or (b) if "less
than or equal to the Collateral Trigger Level" is specified in the applicable Final Terms, less than or
equal to the Collateral Trigger Level. The Collateral Trigger Level will be specified in the applicable
Final Terms. Upon the occurrence of a Collateral Trigger Event, MLICo. will cancel and settle all of
the relevant Secured W&C Instruments at their Early Settlement Amount (CTE) and, where "Physical
Delivery of Static Collateral Assets" is specified to apply in the applicable Final Terms, deliver the
Entitlement (CTE).
The value of the relevant Secured W&C Instrument will be determined by the Secured W&C
Instruments Valuation Agent as an amount equal to the sum of (x) the intra-day market value of the
portion of the option that relates to such Secured W&C Instrument and (y) the intra-day market value
of the relevant Static Collateral Assets that relate to such Secured W&C Instrument, by reference to
such factors as the Secured W&C Instruments Valuation Agent considers appropriate in its discretion.
As MLICo. and the Secured W&C Instruments Valuation Agent are affiliates, a potential conflict of
interest may arise between the Secured W&C Instruments Valuation Agent and the Holders of Secured
W&C Instruments in respect of these determinations. See "Potential Conflicts of Interest between
Holders of Secured W&C Instruments, the Secured W&C Instruments Collateral Provider and the
Secured W&C Instruments Valuation Agent" below.
If a Collateral Trigger Event has occurred the value of all or some of the Collateral Assets forming the
Collateral Pool will have lost a substantial proportion of their value. Therefore on early cancellation of
the Instruments as a result of such Collateral Trigger Event, the Early Settlement Amount (CTE)
91
Risk Factors
payable or Entitlement (CTE) deliverable may be significantly less than the investor's initial
investment.
In addition, if a Collateral Trigger Event is specified to be applicable in the applicable Final Terms, it
may increase the possibility (in comparison with W&C Instruments which are not secured) of the
Secured W&C Instruments being cancelled and settled early. Following such cancellation and early
settlement, a Holder of Secured W&C Instruments may not be able to reinvest the settlement proceeds
at an equivalent rate of return to the Secured W&C Instruments being settled and may only be able to
do so at a significantly lower rate or in worse investment conditions. Potential investors should
consider reinvestment risk in light of other available investments at the time they contemplate investing
in Secured W&C Instruments.
Investors are exposed to the credit risk of the issuer(s) of the Static Collateral Assets
In respect of Secured W&C Instruments to which the Secured Static/Floating W&C Instruments
Conditions apply, the value of the Secured W&C Instruments is expected to be affected by the
creditworthiness of an issuer of the Static Collateral Assets and actual or anticipated changes in the
credit ratings of an issuer of the Static Collateral Assets.
In respect of Secured W&C Instruments to which the Secured Static/Floating W&C Instruments
Conditions apply, Collateral Disruption Events also include certain events which are indicative of a
default or material decline in the creditworthiness of an issuer of the Static Collateral Assets. In such
circumstances, upon any cancellation and early settlement of Secured W&C Instruments by MLICo., it
is likely that the market value of the Static Collateral Assets will be low and may be zero, thereby
having a material adverse impact on the returns to investors. Therefore such Secured W&C Instruments
explicitly bear the credit risk of an issuer of the Static Collateral Assets and any guarantor of such
issuer's obligations under the Static Collateral Assets.
The market value of a Secured W&C Instrument may be affected negatively when the probability of, or
the market's perception of the probability of, a Collateral Disruption Event occurring in respect of an
issuer of the Static Collateral Assets increases, even if a Collateral Disruption Event does not actually
occur.
No investigations, searches or other enquiries have been made by or on behalf of the Issuer, the
Secured W&C Instruments Collateral Provider or the Security Agent in respect of the Static Collateral
Assets or an issuer or any guarantor of the Static Collateral Assets. No representations or warranties,
express or implied, have been given by the Issuer, the Secured W&C Instruments Collateral Provider or
the Security Agent or any other person on their behalf in respect of the Static Collateral Assets or an
issuer or any guarantor in respect of the Static Collateral Assets. Investors should conduct their own
investigation and analysis with respect to the creditworthiness of an issuer and any guarantor of the
Static Collateral Assets.
An issuer or any guarantor of the Static Collateral Assets may be a publicly reporting company and
financial and other information with respect to the issuer or any guarantor may be available from
publicly available sources. Publicly available information in relation to an issuer or any guarantor of
the Static Collateral Assets may be incomplete, inaccurate or misleading. The Issuer, the Secured W&C
Instruments Collateral Provider and the Security Agent give no assurance as to the accuracy or
completeness of any information available with respect to an issuer or any guarantor of the Static
Collateral Assets or that all events that would affect the creditworthiness of an issuer or any guarantor
of the Static Collateral Assets have been publicly disclosed. Subsequent disclosure of any such events
or the disclosure of, or failure to disclose, material future events concerning the issuer or any guarantor
of the Static Collateral Assets could affect its creditworthiness and therefore the market value of the
Secured W&C Instruments, the likelihood of a Collateral Disruption Event occurring and the resulting
Early Settlement Amount (CDE) or, if "Physical Delivery of Static Collateral Assets" is specified to be
applicable in the applicable Final Terms, the value of the Static Collateral Assets delivered to Holders.
Risks related to an Acceleration Event and enforcement of the security following a Secured W&C
Instrument Event of Default
If a Secured W&C Instrument Event of Default has occurred and is continuing with respect to any
Series of Secured W&C Instruments, then any Holder may, at its option, send an Acceleration Notice
92
Risk Factors
to MLICo. and the relevant Instrument Agent. If Holders of at least 33 per cent. of the aggregate
Notional Amount or by number (as applicable) of Non-Waived W&C Instruments (which, unless
notified in writing by the Issuer and or its Affiliates to the Secured W&C Instruments Collateral
Provider, shall not include any Secured W&C Instruments held by the Issuer or its Affiliates) and if
any such default is not waived or cured by the Issuer in accordance with the relevant Secured W&C
Instruments Conditions, an Acceleration Event shall occur in respect of such Series of Secured W&C
Instruments.
The relevant Instrument Agent will as soon as reasonably practicable after the occurrence of an
Acceleration Event notify the Security Agent of the occurrence of such Acceleration Event and such
notification shall be deemed to be an instruction to the Security Agent to, among other things, enforce
the security constituted by the relevant Deed of Charge (an "Acceleration Instruction"). If the
Security Agent receives an Acceleration Instruction, the Security Agent shall (acting in accordance
with such Acceleration Instruction), among other things, deliver a Collateral Enforcement Notice to
MLICo., the Secured W&C Instruments Collateral Provider and the relevant Instrument Agent upon
which all Secured W&C Instruments in respect of which such Collateral Enforcement Notice is served
will become immediately due and repayable at their applicable Early Settlement Amount.
No Holder shall be entitled to enforce the relevant Deed of Charge or to proceed directly against the
Secured W&C Instruments Collateral Provider to enforce the other provisions of a Charged Document
unless the Security Agent, having become bound to so enforce or proceed, fails so to do within a
reasonable time and such failure is continuing or the Security Agent is prevented from enforcing the
relevant Deed of Charge by any court order. If a Holder becomes so entitled, then such Holder shall not
be entitled to enforce the relevant Deed of Charge or Charged Document in the United Kingdom.
Where the Collateral Assets consist of debt securities, shares or other tradable securities, liquidation of
all the Collateral Assets simultaneously may increase the risk that the proceeds of realisation of the
Collateral Assets may be less than the sums due to the relevant Holder of Secured W&C Instruments
under the relevant Secured W&C Instruments because liquidation of all the Collateral Assets in the
Collateral Pool at the same time could, in particular market circumstances, lead to a reduction in the
market value of some or all of the Collateral Assets.
In addition, following the realisation of the Collateral Assets, an investor may not be able to reinvest
any settlement proceeds or, where applicable, any Collateral Assets that it receives at an equivalent rate
of return to the Secured W&C Instruments that have become immediately due and payable following
the occurrence of an Acceleration Event and may only be able to do so at a significantly lower rate or
in worse investment conditions. Potential investors should consider reinvestment risk in light of other
available investments at the time they contemplate investing in Secured W&C Instruments.
Limitations on the entitlement of a Holder of Secured W&C Instruments on enforcement and
subordination to payment of expenses and other payments
If the Secured Static/Floating W&C Instruments Conditions apply to a Series of Secured W&C
Instruments, following the enforcement of the relevant Deed of Charge, the rights of a Holder of
Secured W&C Instruments to be paid amounts from the proceeds of such enforcement and the
realisation of the related Collateral Assets will be limited to the applicable Early Settlement Amount
and, where Physical Delivery of Static Collateral Assets is applicable, the delivery of the Entitlement.
If the Secured Fully Floating W&C Instruments Conditions apply to a Series of Secured W&C
Instruments, and, following the enforcement of the relevant Deed of Charge, each Secured W&C
Instrument's share of the proceeds of enforcement (following payment of the Secured Parties ranking
above the Holders in the Order of Priority) is greater than the Early Settlement Amount, then the rights
of a Holder of Secured W&C Instruments to be paid amounts from the proceeds of such enforcement
and the realisation of the related Collateral Assets (or, where "Physical Delivery of Static Collateral
Assets" is applicable, the market value of Collateral Assets that a Holder is entitled to receive delivery
of) will be limited to: (a) where "NV Collateralisation" or "Max (NV, MV) Collateralisation" is
specified to be applicable in the applicable Final Terms, the greater of: (i) the product of (A) the
Collateralisation Percentage, multiplied by (B) the Notional Amount of the Non-Waived W&C
Instruments; and (ii) the Early Settlement Amount; and (b) where "MV Collateralisation" or "Min (NV,
MV) Collateralisation" is specified to be applicable in the applicable Final Terms, the applicable Early
Settlement Amount.
93
Risk Factors
Following the early settlement of the Secured W&C Instruments, a Holder of Secured W&C
Instruments may not be able to reinvest the settlement proceeds at an equivalent rate of return to the
Secured W&C Instruments being settled and may only be able to do so at a significantly lower rate or
in worse investment conditions. Potential investors should consider reinvestment risk in light of other
available investments at the time they contemplate investing in Secured W&C Instruments.
A Holder's entitlement on enforcement and realisation of the related Collateral Assets will be
subordinated to and therefore rank behind claims relating to any amounts payable to Secured Parties
ranking prior to the Holder of Non-Waived W&C Instruments in accordance with the Order of Priority
specified in the applicable Final Terms and any rights of preference existing by operation of law.
Shortfall on Realisation of Collateral Assets, Limited Recourse of a Holder of Secured W&C
Instruments and inadequacy of collateral
The security provided for a Series of Secured W&C Instruments is limited to the Collateral Assets
constituting the Collateral Pool applicable to such Series together with the Secured W&C Instruments
Collateral Provider's right, benefit, interest and title, present and future, in, under and to the Charged
Documents (to the extent they relate to such Series). The value realised for the Collateral Assets in the
relevant Collateral Pool or, where (a) in the event that the Secured Static/Floating W&C Instruments
Conditions apply to a Series of Secured W&C Instruments, "Physical Delivery of Static Collateral" is
applicable, and (b) in the event that the Secured Fully Floating W&C Instruments Conditions apply to a
Series of Secured W&C Instruments, Physical Delivery of Collateral Assets on Enforcement is
applicable, the value of the Collateral Assets delivered, upon enforcement of the relevant Deed of
Charge may be less than the amounts due to a Holder of Secured W&C Instruments in respect of the
relevant Series of Secured W&C Instruments and as a result, investors may lose all or a substantial
portion of their investment. The level of risk will particularly depend on the Eligibility Criteria and, if
the Secured Fully Floating W&C Instruments Conditions apply to a Series of Secured W&C
Instruments on the collateralisation method (either MV Collateralisation, NV Collateralisation, Max
(MV, NV) Collateralisation or Min (MV, NV) Collateralisation) as specified in the applicable Final
Terms).
The Collateral Assets may suffer a fall in value between the time at which the relevant Deed of Charge
becomes enforceable and the time at which the Collateral Assets are realised in full or, where (a) in the
event that the Secured Static/Floating W&C Instruments Conditions apply to a Series of Secured W&C
Instruments, Physical Delivery of Static Collateral Assets on Enforcement is applicable, and (b) in the
event that the Secured Fully Floating W&C Instruments Conditions apply to a Series of Secured W&C
Instruments, Physical Delivery of Collateral Assets on Enforcement is applicable, the Collateral Assets
are delivered. In extraordinary circumstances, the Collateral Assets forming part of the Collateral Pool
available at the time at which a Deed of Charge becomes enforceable could lose all or a substantial
proportion of their value by the time of realisation and distribution or delivery, as applicable.
Moreover, the security created in respect of the Secured W&C Instruments may be unperfected for a
variety of reasons, including the failure to make required filings and, as a result, Holders may not have
priority over other creditors as anticipated.
If there is any shortfall in amounts due to a Holder of Secured W&C Instruments in accordance with
the Secured W&C Instruments Conditions then such Holder of Secured W&C Instruments shall have
no further claim against MLICo., the Secured W&C Instruments Collateral Provider or the Security
Agent in respect of such amounts which remain unpaid following enforcement of the relevant Deed of
Charge (including, for the avoidance of doubt, payments of settlement amounts or additional amounts
in respect of the Secured W&C Instruments). In such a scenario, as the Guarantees are not applicable to
Secured W&C Instruments, a Holder of the Secured W&C Instruments will have no further claim
against any entity in respect of any shortfall in amounts due to it.
If physical delivery of Collateral Assets applies on enforcement and a Physical Delivery of Collateral
Assets Disruption Event occurs or exists, there may be a delay in delivery of the Collateral Assets or
the Collateral Assets may be sold in lieu of delivery
If the Secured Static/Floating W&C Instruments Conditions apply to a Series of Secured W&C
Instruments and Physical Delivery of Static Collateral Assets is specified to be applicable, upon
enforcement of a Deed of Charge, the Security Agent will not sell, or cause to be sold, the Static
Collateral Assets (unless there is a Physical Delivery of Collateral Assets Disruption Event or to the
94
Risk Factors
extent required in order to pay any amounts payable to Secured Parties ranking prior to the Holders in
accordance with the Order of Priority specified in the applicable Final Terms that have not been met by
the sale of MTM Collateral Assets) but will procure delivery of the Static Collateral Assets to each
Holder of Secured W&C Instruments in the manner set out in the Secured Static/Floating W&C
Instruments Conditions.
If the Secured Fully Floating W&C Instruments Conditions apply to a Series of Secured W&C
Instruments and Physical Delivery of Collateral Assets is specified in respect of a Series of Secured
W&C Instruments, upon enforcement of a Deed of Charge, the Security Agent will not sell, or cause to
be sold, the Collateral Assets (unless there is a Physical Delivery of Collateral Assets Disruption Event
or to the extent required in order to pay any amounts payable to Secured Parties ranking prior to the
Holders of Secured W&C Instruments in accordance with the Order of Priority specified in the
applicable Final Terms) but will procure delivery of the Collateral Assets to each Holder of Secured
W&C Instruments in the manner set out in the Secured Fully Floating W&C Instruments Conditions.
If, in the opinion of the Disposal Agent, delivery of all or some of the Static Collateral Assets or
Collateral Assets, as applicable, forming part of the Entitlement is not practicable by reason of a
Physical Delivery of Collateral Assets Disruption Event having occurred or continuing on any
Collateral Delivery Date, then settlement will be postponed until the next Collateral Business Day on
which there is no Physical Delivery of Collateral Assets Disruption Event. If delivery of any of the
Static Collateral Assets or Collateral Assets, as applicable, forming part of the Entitlement is not
possible due to the occurrence of a Physical Delivery of Collateral Assets Disruption Event for a period
of greater than 20 Collateral Business Days, the Disposal Agent will sell or realise the undeliverable
Static Collateral Assets or Collateral Assets, as applicable, in lieu of physical settlement. The amount
received by a Holder of Secured W&C Instruments following such sale of Static Collateral Assets or
Collateral Assets, as applicable may be lower than the amount which a Holder of Secured W&C
Instruments would have received if the relevant Static Collateral Assets or Collateral Assets, as
applicable, had been delivered to it and the Holder of Secured W&C Instruments held the relevant
Static Collateral Assets or Collateral Assets, as applicable, to the maturity date of such assets or sold
such assets at a different point in time.
Risk of a delay in the realisation of the Collateral Assets in the event of the insolvency of the
Security Agent or any Collateral Arrangement Party
The insolvency of MLICo. will constitute a Secured W&C Instrument Event of Default, which may
trigger early settlement of any Secured W&C Instruments issued by MLICo. In these circumstances, or
in the event of the insolvency of the Security Agent or any Collateral Arrangement Party, the
realisation of the Collateral Assets may be delayed either by the appointment of an insolvency
administrator or other insolvency official in relation to the relevant party or by measures ordered by a
competent court.
In addition, in the case of an insolvency of a member of the Group, it is possible that MLICo., the
Secured W&C Instruments Collateral Provider and the Secured W&C Instruments Agent that are
members of the Group may also each be insolvent. Such circumstances may lead to a delay in the
administrative processes involved in the realisation of the Collateral Assets. However, as the entities
responsible for the enforcement of the Deed of Charge and the realisation of the Collateral Assets,
namely the Custodian, the Collateral Agent, the Security Agent and the Disposal Agent are not part of
the Group, the impact of any insolvency of a member of the Group on such enforcement and realisation
should be less material than it would have been if the Custodian, the Collateral Agent, the Security
Agent and/or the Disposal Agent were part of the Group.
The initial Custodian, the initial Collateral Agent, and the initial Security Agent are affiliates of one
another and it is possible that the Disposal Agent will also be an affiliate, and in the event of the
insolvency of one such entity it is possible that another of those entities may also be insolvent. Such
circumstances may lead to a delay in the realisation of the Collateral Assets. The Custodian Agreement,
Triparty Account Control Agreement, and the Security Agency Agreement will contain provisions
permitting the replacement of the Custodian, Collateral Agent, and Security Agent, as applicable, in
certain circumstances, including following insolvency, as further provided in such agreements and the
Secured W&C Instrument.
95
Risk Factors
If there is a delay in the realisation of the Collateral Assets due to the insolvency of any of these
entities, such Collateral Assets could depreciate in value resulting in a shortfall in the amounts returned
to Holders of Secured W&C Instruments.
Potential Conflicts of Interest between Holders of Secured W&C Instruments, the Secured W&C
Instruments Collateral Provider and the Secured W&C Instruments Valuation Agent
As the Secured W&C Instruments Collateral Provider and the Secured W&C Instruments Valuation
Agent are the same legal entity and are affiliates of MLICo., potential conflicts of interest may arise
between the Secured W&C Instruments Collateral Provider, the Secured W&C Instruments Valuation
Agent and the Holders of Secured W&C Instruments, including with respect to the making of certain
determinations and the exercise of certain discretions (including as to the calculation of and
determinations relating to (a) the Marked-to-Market Derivative Hedge Value, (b) in respect of Secured
W&C Instruments to which the Secured Static/Floating W&C Instruments Conditions apply: (i) the
MTM Collateral Specified Percentage of the Required MTM Collateral Value; (ii) the Static Collateral
Specified Percentage of the Required Static Collateral Nominal Amount; and (iii) (if applicable) a
Collateral Trigger Event, and (c) in respect of Secured W&C Instruments to which the Secured Fully
Floating W&C Instruments Conditions apply: (i) the Secured W&C Instrument Market Value; and (ii)
the Required Collateral Value). In addition, whilst the Secured W&C Instruments Collateral Provider
and the Secured W&C Instruments Valuation Agent are obliged to carry out their duties and functions
in good faith and in a commercially reasonable manner, neither the Secured W&C Instruments
Collateral Provider nor the Secured W&C Instruments Valuation Agent acts or will act as a fiduciary or
as an advisor to the Holder of Secured W&C Instruments in respect of their duties as Secured W&C
Instruments Collateral Provider and Secured W&C Instruments Valuation Agent, respectively.
A failure by the Security Agent or the Disposal Agent to perform its obligations following an
Acceleration Event may adversely affect the amount the Holders of the Secured W&C Instruments
may recover
Following a Secured W&C Instruments Event of Default and subsequent Acceleration Event, the
Security Agent will (acting in accordance with an Acceleration Instruction) enforce the security under
the relevant Deed of Charge upon the delivery of a Collateral Enforcement Notice and will give
instructions to the Disposal Agent to: (a) liquidate and realise the Collateral Assets in the Collateral
Pool which secures a Series of Secured W&C Instruments and subsequently distribute the relevant
Collateral Enforcement Proceeds Share to the relevant Holders of Secured W&C Instruments or (b)
where, in respect of Secured W&C Instruments to which the Secured Static/Floating W&C Instruments
Conditions apply, Physical Delivery of Static Collateral Assets is specified as applicable in the
applicable Final Terms or where, in respect of Secured W&C Instruments to which the Secured Fully
Floating W&C Instruments Conditions apply, Physical Delivery of Collateral Assets is specified as
applicable in the applicable Final Terms, arrange for delivery of the relevant Entitlement to the relevant
Holder of Secured W&C Instruments, in each case in accordance with the Order of Priority.
A failure by the Security Agent or the Disposal Agent to perform its obligations with respect to the
Collateral Assets or to perform its obligations in a timely or efficient manner may adversely affect the
realisation of the Collateral Assets and the amount distributable or deliverable to Holders of Secured
W&C Instruments. Accordingly, in the event of a Secured W&C Instruments Event of Default and
subsequent Acceleration Event, the amount that Holders of the Secured W&C Instruments recover may
be adversely affected.
The Security Agent may be entitled not to act following an Acceleration Event if it believes that it
will be unable to recover certain amounts or is not indemnified and/or secured or pre-funded by the
Holders
Following a Secured W&C Instruments Event of Default and subsequent Acceleration Event (as
notified to the Security Agent upon receipt of an Acceleration Instruction), the Security Agent shall be
under no obligation to take any action to liquidate or realise any Collateral Assets, if (a) in the event
that it is directed by the requisite percentage of Holders of the Secured W&C Instruments to effect such
liquidation or realisation in accordance with the exact provisions of an Acceleration Instruction (the
form of which is scheduled to the Agency Agreement) it reasonably believes that it would not be able
to recover Security Agent Amounts (being amounts incurred by it in respect of exceptional duties) or
would experience an unreasonable delay in doing so; or (b) in the event that it is directed by a Secured
96
Risk Factors
Party to effect such liquidation or realisation other than in accordance with the exact provisions of an
Acceleration Instruction (the form of which is scheduled to the Agency Agreement) it has not been
indemnified and/or secured and/or prefunded to its satisfaction by the Holders of the Secured W&C
Instruments.
In any such event, the Security Agent may decide not to take any action and such inaction will not
constitute a breach by it of its obligations under the Security Agency Agreement, the Deed of Charge
or the Secured W&C Instruments Conditions. Consequently, if applicable, the Holders of the Secured
W&C Instruments would have to either arrange for such indemnity and/or security and/or pre-funding,
accept the consequences of such inaction by the Security Agent or appoint a replacement Security
Agent. Holders of at least 33 per cent. in aggregate Notional Amount or by number (as applicable) of
Non-Waived W&C Instruments outstanding may remove the Security Agent and appoint a replacement
Security Agent. Holders of the Secured W&C Instruments should be prepared to bear the costs
associated with any such indemnity and/or security and/or pre-funding and/or the consequences of any
such inaction by the Security Agent and/or the replacement of the Security Agent. Such inaction by the
Security Agent will not entitle Holders of the Secured W&C Instruments to take action in the United
Kingdom directly against the Secured W&C Instruments Collateral Provider to pursue remedies for any
breach by the Secured W&C Instruments Collateral Provider of the Deed of Charge, the Secured W&C
Instruments Conditions or Charged Documents. Any consequential delay in the liquidation or
realisation of the Collateral Assets may adversely affect the amount distributable or deliverable to
Holders of Secured W&C Instruments.
No Fiduciary duties
In performing their duties under the Programme, none of the Secured W&C Instruments Collateral
Provider, the Custodian, the Collateral Agent, the Secured W&C Instruments Valuation Agent or the
Disposal Agent will act as a fiduciary or as an advisor to the Holders of W&C Instruments in respect of
their respective duties and do not act as a trustee for the Holders of W&C Instruments. In performing
its role under the Programme, the Security Agent does not act as an advisor to or fiduciary or trustee
for the Holders of the Secured W&C Instruments (either as a Series or individually) or any other party
and nothing in any of the documents relating to the Programme shall be interpreted to constitute the
Security Agent as a trustee or fiduciary of the Issuer, the Secured W&C Instruments Collateral
Provider, the Holders of the Secured W&C Instruments or any other party.
97
Description of the Collateral Arrangements relating to Secured W&C Instruments
DESCRIPTION OF THE COLLATERAL ARRANGEMENTS RELATING TO SECURED
W&C INSTRUMENTS
The following is a description of the security and collateral arrangements in relation to W&C
Instruments (such W&C Instruments being hereinafter referred to as Secured W&C Instruments) to
which the Secured W&C Instruments Conditions are specified as being applicable in the applicable
Final Terms.
Terms used but not otherwise defined in this description shall have the meaning given to them in the
relevant Secured W&C Instruments Conditions.
1.
General
Each Series of Secured W&C Instruments will be issued by MLICo. and will be secured by a
segregated pool of collateral assets (the "Collateral Assets") provided by Merrill Lynch
International in its capacity as Secured W&C Instruments Collateral Provider (the "Secured
W&C Instruments Collateral Provider"). The Secured W&C Instruments Collateral
Provider has entered into a custody agreement with The Bank of New York Mellon, London
Branch (in such capacity, the "Custodian"), which provides for the establishment of cash
accounts and securities accounts in the name of the Secured W&C Instruments Collateral
Provider. For each Series of Secured W&C Instruments, the Secured W&C Instruments
Collateral Provider shall instruct The Bank of New York Mellon, London Branch (in such
capacity, the "Collateral Agent") to open segregated collateral accounts (each, a "Collateral
Account") in accordance with the provisions of a triparty account control agreement to be
entered into between the Secured W&C Instruments Collateral Provider, the Collateral Agent
and the Security Agent (as defined below) (each, a "Triparty Account Control Agreement").
Each Series of Secured W&C Instruments will benefit from a deed of charge (each a "Deed of
Charge"), which will be governed by the English law, granted by the Secured W&C
Instruments Collateral Provider. Under each Deed of Charge, the Secured W&C Instruments
Collateral Provider will grant first ranking security over the Collateral Assets contained in the
Collateral Account for the relevant Series of Secured W&C Instruments. Secured W&C
Instruments may be issued under the (a) Additional Terms and Conditions for Secured
Static/Floating W&C Instruments set out in Annex 13 to the Offering Circular ("Secured
Static/Floating W&C Instruments Conditions"), pursuant to which the Collateral Assets
will be separated into MTM Collateral Assets and Static Collateral Assets and (b) Additional
Terms and Conditions for Secured Fully Floating W&C Instruments set out in Annex 14 to the
Offering Circular ("Secured Fully Floating W&C Instruments Conditions" and, together
with the Secured Static/Floating W&C Instruments Conditions, the "Secured W&C
Instruments Conditions").
2.
Appointment of a Security Agent
In relation to each Series of Secured W&C Instruments, The Bank of New York Mellon has
been appointed as security agent (the "Security Agent") and has undertaken to carry out the
duties of Security Agent in respect of such Secured W&C Instruments under a New York law
governed security agency agreement entered into between, inter alia, MLICo., the Secured
W&C Instruments Collateral Provider and the Security Agent (the "Security Agency
Agreement").
In relation to each Series of Secured W&C Instruments, the security granted under each Deed
of Charge will be granted in favour of the Security Agent or any successor thereto on behalf of
itself and the relevant Holders of the Secured W&C Instruments and the other relevant
Secured Parties (as defined in the relevant Secured W&C Instruments Conditions) under the
Security Agency Agreement.
In performing its role under the Programme, the Security Agent does not act as an advisor to
or fiduciary or trustee for the Holders of the Secured W&C Instruments (either as a Series or
individually) or any other party and nothing in any of the documents relating to the
Programme shall be interpreted to constitute the Security Agent as a trustee or fiduciary of the
Issuer, the Secured W&C Instruments Collateral Provider, the Holders of the Secured W&C
Instruments or any other party.
98
Description of the Collateral Arrangements relating to Secured W&C Instruments
3.
Nature of Collateral Assets
The Collateral Assets held in a Collateral Account and secured pursuant to a Deed of Charge
are together referred to as the "Collateral Pool".
(a)
Secured Static/Floating W&C Instruments Conditions
In respect of Secured W&C Instruments to which the Secured Static/Floating W&C
Instruments Conditions apply, a Collateral Pool shall be made up of (i) Static Collateral Assets
and (ii) MTM Collateral Assets.
The Static Collateral Assets shall comprise of (x) a single debt security (an "Eligible Debt
Security") or a basket of Eligible Debt Securities (a "Basket of Eligible Debt Securities")
issued by the relevant entity or entities and having the ISIN(s) specified in the applicable Final
Terms and (y) debt securities that satisfy all of the Eligibility Criteria (as defined below)
applicable to a certain class or type of Eligible MTM Collateral Assets (as defined below) as
specified in the applicable Final Terms. Such Static Collateral Assets are referred to as
"Eligible Static Collateral Assets". The MTM Collateral Assets may comprise of:

cash;

debt securities (including, but not limited to, government bonds, corporate bonds,
covered bonds and asset backed securities);

equity securities, shares, units or interests in a fund; and/or

any other negotiable financial instruments in book entry-form.
The MTM Collateral Assets must satisfy the eligibility criteria (the "Eligibility Criteria")
specified in the applicable Final Terms relating to such Series of Secured W&C Instruments.
MTM Collateral Assets satisfying the relevant Eligibility Criteria are referred to as "Eligible
MTM Collateral Assets".
The Eligibility Criteria specified in the applicable Final Terms will set out the criteria which
must be met for MTM Collateral Assets to constitute Eligible MTM Collateral Assets and may
include limitations on the type of MTM Collateral Assets that may be held, the maturity of the
MTM Collateral Assets, the liquidity of the MTM Collateral Assets, requirements regarding
the jurisdiction of the issuer of the MTM Collateral Assets or its guarantor or the credit rating
of the obligor of the MTM Collateral Assets and/or any other limitations, restrictions and/or
requirements concerning the MTM Collateral Assets as may be specified in the applicable
Final Terms.
Notwithstanding the Eligibility Criteria specified to be applicable in the applicable Final
Terms in respect of a Series of Secured W&C Instruments, the Collateral Agent shall be
obliged to refer only to the terms of the relevant Triparty Account Control Agreement in
determining whether the MTM Collateral Assets comply with the eligibility criteria set out in
the relevant Triparty Account Control Agreement.
(b)
Secured Fully Floating W&C Instruments Conditions
In respect of Secured W&C Instruments to which the Secured Fully Floating W&C
Instruments Conditions apply, a Collateral Pool shall be made up of Collateral Assets
comprising of:
•
cash;
•
debt securities (including, but not limited to, government bonds, corporate bonds,
covered bonds and asset backed securities);
•
equity securities, shares, units or interests in a fund; and/or
•
any other negotiable financial instruments in book entry-form.
99
Description of the Collateral Arrangements relating to Secured W&C Instruments
The Collateral Assets must satisfy the eligibility criteria (the "Eligibility Criteria") specified
in the applicable Final Terms relating to such Series of Secured W&C Instruments. Collateral
Assets satisfying the relevant Eligibility Criteria are referred to as "Eligible Collateral
Assets".
The Eligibility Criteria specified in the applicable Final Terms will set out the criteria which
must be met for Collateral Assets to constitute Eligible Collateral Assets and may include
limitations on the type of Collateral Assets that may be held, the maturity of the Collateral
Assets, the liquidity of the Collateral Assets, requirements regarding the jurisdiction of the
issuer of the Collateral Assets or its guarantor or the credit rating of the obligor of the
Collateral Assets and/or any other limitations, restrictions and/or requirements concerning the
Collateral Assets as may be specified in the applicable Final Terms.
Notwithstanding the Eligibility Criteria specified to be applicable in the applicable Final
Terms in respect of a Series of Secured W&C Instruments, the Collateral Agent shall be
obliged to refer only to the terms of the relevant Triparty Account Control Agreement in
determining whether the Collateral Assets comply with the eligibility criteria set out in the
relevant Triparty Account Control Agreement.
4.
Segregation between Collateral Pools, Limited Recourse and Non-Petition
By acquiring and holding Secured W&C Instruments, Holders of the Secured W&C
Instruments will be deemed to acknowledge and agree that the obligations of the Issuer to the
Holders of the Secured W&C Instruments are limited in recourse to the Collateral Assets
contained in the relevant Collateral Pool securing such Series of Secured W&C Instruments.
In particular, the Collateral Assets contained in any other Collateral Pool will not be available
to pay amounts due in respect of any Secured W&C Instruments which are not secured by that
Collateral Pool. The Secured W&C Instruments are not guaranteed by the Guarantor or any
other entity and therefore Holders of the Secured W&C Instruments will have no claim against
the Guarantor or any other entity in respect of any such amounts owing to them which remain
unpaid.
5.
Valuation of Collateral
In order to ensure that a Series of Secured W&C Instruments is collateralised in accordance
with its terms, on each Issue Date and relevant Collateral Business Day (each such test date
being a "Collateral Test Date"), the actual value of the Collateral Assets will be tested against
the required value of the Collateral Assets to be held in the Collateral Accounts to secure the
relevant Series of Secured W&C Instruments, as determined in accordance with the provisions
of the applicable Secured W&C Instruments Conditions. Merrill Lynch International shall
undertake the duties of Secured W&C Instruments valuation agent (the "Secured W&C
Instruments Valuation Agent") under the terms of a valuation agency agreement (the
"Valuation Agent Agreement"), pursuant to which it will determine values relating to the
collateral and provide them to the Collateral Agent as described below:
(a)
Secured Static/Floating W&C Instruments Conditions
On the Collateral Business Day immediately preceding the Collateral Test Date, the
Secured W&C Instruments Valuation Agent will determine and will send to the
Collateral Agent a Collateral Test Notice notifying it of the following: (a) in respect of
the Static Collateral Assets, the Static Collateral Specified Percentage of the Required
Static Collateral Nominal Amount; and (b) in respect of the MTM Collateral Assets,
the MTM Collateral Specified Percentage of the Required MTM Collateral Value. On
each Collateral Test Date, the Collateral Agent shall: (a) in respect of the Static
Collateral Assets, determine the Pool Aggregate Collateral Nominal Amount and verify
if such amount is greater than or equal to the Static Collateral Specified Percentage of
the Required Static Collateral Nominal Amount (the "Static Collateral Test"); and (b)
in respect of the MTM Collateral Assets, determine the Collateral Value of the MTM
Collateral Assets in the Collateral Account and verify if such value is greater than or
equal to the MTM Collateral Specified Percentage of the Required MTM Collateral
Value (the "MTM Collateral Test").
100
Description of the Collateral Arrangements relating to Secured W&C Instruments
(i)
Static Collateral Assets
(A)
Pool Aggregate Collateral Nominal Amount
The Pool Aggregate Collateral Nominal Amount in respect of a Collateral
Pool on a relevant date, is an amount, expressed in the currency specified in
the applicable Final Terms (the "Collateral Valuation Currency"), equal to
the aggregate nominal amount of the Static Collateral Assets held in the
Collateral Account on the relevant date, as determined by the Collateral
Agent.
(B)
Static Collateral Specified Percentage of the Required Static Collateral
Nominal Amount
The Static Collateral Specified Percentage of the Required Static Collateral
Nominal Amount is the percentage, as specified in the applicable Final Terms,
of, in respect of a Collateral Pool which secures a Series of Secured W&C
Instruments and any relevant date, the sum of the Notional Amount of each
Non-Waived W&C Instrument of such Series of Secured W&C Instruments,
as determined by the Secured W&C Instruments Valuation Agent.
(ii)
MTM Collateral Assets
(A)
Collateral Value
The Collateral Value is, in respect of a Collateral Pool and a Collateral Test
Date, an amount, expressed in the Collateral Valuation Currency, equal to the
sum of the Margin Value of each Eligible MTM Collateral Asset in such
Collateral Pool on such Collateral Test Date, as determined by the Collateral
Agent.
(B)
MTM Collateral Specified Percentage of the Required MTM Collateral
Value
The MTM Collateral Specified Percentage of the Required MTM Collateral
Value is the percentage, as specified in the applicable Final Terms, of, in
respect of a Collateral Pool and a Collateral Test Date, the greater of zero and
the sum of each portion of the Marked-to-Market Derivative Hedge Value at
the relevant time that relates to a Non-Waived W&C Instrument of the
relevant Series of Secured W&C Instruments which are secured by such
Collateral Pool, as determined by the Secured W&C Instruments Valuation
Agent.
(b)
Secured Fully Floating W&C Instruments Conditions
On the Secured W&C Instrument Valuation Date for each Collateral Test Date, the
Secured W&C Instruments Valuation Agent will determine the Required Collateral
Value and will send the Collateral Agent a Collateral Test Notice notifying it of such
Required Collateral Value. On each Collateral Test Date, the Collateral Agent shall
calculate the Collateral Value and verify if such value is greater than or equal to the
Required Collateral Value (the "Collateral Test").
(i)
Collateral Value
Except if "Collateral Valuation at Nominal Value" is specified as applicable in
the applicable Final Terms, the Collateral Value is an amount equal to the sum
of the quotient of (a) the Market Value of each Eligible Collateral Asset,
divided by (b) the Margin Percentage applicable to each Eligible Collateral
Asset, as determined by the Collateral Agent.
If "Collateral Valuation at Nominal Value" is specified as applicable in the
applicable Final Terms, the Collateral Value shall be deemed to be equal to the
101
Description of the Collateral Arrangements relating to Secured W&C Instruments
total aggregate nominal value of the Collateral Assets constituting Eligible
Collateral Assets, as determined by the Collateral Agent.
The Collateral Agent shall calculate the Collateral Value as of the relevant
Collateral Valuation Time (as described below) in the Collateral Valuation
Currency. Where the currency of denomination of a Collateral Asset is other
than the Collateral Valuation Currency, the Collateral Agent shall convert the
value of such Collateral Asset at the relevant spot exchange rate or spot rates
in accordance with such method and as at such time as the Collateral Agent
may select in its discretion, having regard to the then current rates of
exchange.
(ii)
Required Collateral Value
The Required Collateral Value will be calculated by the Secured W&C
Instruments Valuation Agent on the Issue Date and on each Secured W&C
Instrument Valuation Date, as follows:
(A)
where "MV Collateralisation" is specified as being the Type of
Collateralisation applicable in the applicable Final Terms relating to a
Series of Secured W&C Instruments, the Required Collateral Value
shall be equal to the product of (a) the Collateralisation Percentage, (b)
the Secured W&C Instrument Market Value and (c) the number of
Non-Waived W&C Instruments of such Series;
(B)
where "NV Collateralisation" is specified as being the Type of
Collateralisation applicable in the applicable Final Terms relating to a
Series of Secured W&C Instruments, the Required Collateral Value
shall be equal to the product of (a) the Collateralisation Percentage and
(b) the total aggregate nominal value of the Non-Waived W&C
Instruments of such Series;
(C)
where "Min (MV, NV) Collateralisation" is specified as being the Type
of Collateralisation applicable in the applicable Final Terms relating to
a Series of Secured W&C Instruments, the Required Collateral Value
shall be equal to the lower of (a) the product of (1) the Collateralisation
Percentage, (2) the Secured W&C Instrument Market Value and (3) the
number of Non-Waived W&C Instruments or (b) the product of (1) the
Collateralisation Percentage and (2) the total aggregate nominal value
of the Non-Waived W&C Instruments of such Series; or
(D)
where "Max (MV, NV) Collateralisation" is specified as being the
Type of Collateralisation applicable in the applicable Final Terms
relating to a Series of Secured W&C Instruments, the Required
Collateral Value shall be equal to the greater of (a) the product of (1)
the Collateralisation Percentage, (2) the Secured W&C Instrument
Market Value and (3) the number of Non-Waived W&C Instruments or
(b) the product of (1) the Collateralisation Percentage and (2) the
specified proportion of the total aggregate nominal value of the NonWaived W&C Instruments of such Series.
The Collateralisation Percentage relating to a Series of Secured W&C
Instruments will be specified in the applicable Final Terms and may specify a
different Collateralisation Percentage in respect of different Collateral Test
Dates.
6.
Adjustments to Collateral Pool and Collateral Agent Notice
(a)
Secured Static/Floating W&C Instruments Conditions
If on the relevant Collateral Test Date the Collateral Agent determines that the Collateral Test
is not satisfied, the Collateral Agent will promptly send to the Secured W&C Instruments
102
Description of the Collateral Arrangements relating to Secured W&C Instruments
Collateral Provider a Collateral Agent Notice. On the date such Collateral Agent Notice is
given, the Secured W&C Instruments Collateral Provider will instruct the Collateral Agent to
transfer sufficient additional Eligible MTM Collateral Assets or Eligible Static Collateral
Assets (as applicable) into the relevant Collateral Account to satisfy the Collateral Test.
The Secured W&C Instruments Collateral Provider will ensure that sufficient Eligible MTM
Collateral Assets and Eligible Static Collateral Assets are Delivered into the relevant
Collateral Account on or before each Collateral Test Date to satisfy the Collateral Test in
respect of such Collateral Test Date for the relevant Series of Secured W&C Instruments.
(b)
Secured Fully Floating W&C Instruments Conditions
If on the relevant Collateral Test Date the Collateral Agent determines that the Collateral Test
is not satisfied, the Collateral Agent will promptly send the Secured W&C Instruments
Collateral Provider a Collateral Agent Notice. On the date such Collateral Agent Notice is
given, the Secured W&C Instruments Collateral Provider will instruct the Collateral Agent to
transfer sufficient additional Eligible Collateral Assets into the relevant Collateral Account to
satisfy the Collateral Test.
The Secured W&C Instruments Collateral Provider will ensure that sufficient Eligible
Collateral Assets are Delivered into the relevant Collateral Account on or before each
Collateral Test Date to satisfy the Collateral Test in respect of such Collateral Test Date for
the relevant Series of Secured W&C Instruments.
7.
Waived W&C Instruments
In respect of all Secured W&C Instruments held by the Issuer or its Affiliates, including but
not limited to, in its capacity as market maker, the Issuer or its Affiliates will be deemed to
have waived their rights (a) to receive the proceeds of realisation of the Collateral Assets
securing such Series of Secured W&C Instruments (and where "Physical Delivery of Static
Collateral Assets" is specified as applicable in the applicable Final Terms, delivery of the
Static Collateral Assets) following the enforcement of the relevant Deed of Charge and
Charged Documents or the cancellation of such Series of Secured W&C Instruments
following the occurrence of a Collateral Asset Default and (b) to give an Acceleration Notice
on the occurrence of a Secured W&C Instrument Event of Default ("Waived W&C
Instruments").
As a consequence, when making various calculations under the Secured W&C Instruments
Conditions, including the Required MTM Collateral Value and the Required Static Collateral
Nominal Amount (under the Secured Static/Floating W&C Instruments Conditions) and the
Required Collateral Value (under the Secured Fully Floating W&C Instruments Conditions),
the Secured W&C Instruments Valuation Agent shall only take into account the value of the
Secured W&C Instruments that are not subject to such waiver (any such Secured W&C
Instruments being "Non-Waived W&C Instruments").
8.
Collateral Substitution
(a)
Secured Static/Floating W&C Instruments Conditions
The Secured W&C Instruments Collateral Provider may, subject to the terms of the relevant
Triparty Account Control Agreement, withdraw and/or replace MTM Collateral Assets from
the relevant Collateral Account provided that following such adjustment the Collateral Test
continues to be satisfied. The Secured W&C Instruments Collateral Provider will send or
cause to be sent a notice to the Collateral Agent specifying the adjustments to be made to the
Collateral Pool (including inter alia the type and quantity of any MTM Collateral Assets to be
deposited and/or removed).
The Issuer and the Secured W&C Instruments Collateral Provider shall not be entitled to
withdraw and/or replace Static Collateral Assets from the relevant Collateral Account, on any
day provided that the Secured W&C Instruments Collateral Provider may on any Collateral
Test Date withdraw from the relevant Collateral Account an aggregate nominal amount of
Static Collateral Assets equal to the sum of the Notional Amount of each Non-Waived W&C
103
Description of the Collateral Arrangements relating to Secured W&C Instruments
Instrument that is converted into a Waived W&C Instrument if, following such withdrawal, (a)
the Collateral Test continues to be satisfied, and (b) if the Eligible Static Collateral Assets
specified in the applicable Final Terms are a Basket of Eligible Debt Securities, the aggregate
nominal amount of each Eligible Debt Security is equal to the percentage weighting for each
such Eligible Debt Security within the Basket of Eligible Debt Securities as specified in the
applicable Final Terms.
(b)
Secured Fully Floating W&C Instruments Conditions
The Secured W&C Instruments Collateral Provider may, subject to the terms of the relevant
Triparty Account Control Agreement, withdraw and/or replace Collateral Assets from the
relevant Collateral Account provided that following such adjustment the Collateral Test
continues to be satisfied. The Secured W&C Instruments Collateral Provider will send or
cause to be sent a notice to the Collateral Agent specifying the adjustments to be made to the
Collateral Pool (including inter alia the type and quantity of any Collateral Assets to be
deposited and/or removed).
9.
Early settlement following the occurrence of a Collateral Disruption Event
(a)
Secured Static/Floating W&C Instruments Conditions
If the Secured W&C Instruments Valuation Agent determines that a Collateral Disruption
Event has occurred or is continuing, the Issuer may in its sole discretion cancel all of the
relevant Secured W&C Instruments at their the Early Settlement Amount (CDE) or, if
"Physical Delivery of Static Collateral Assets" is specified to be applicable in the applicable
Final Terms, deliver Static Collateral Assets that make up the Entitlement (CDE) in
accordance with the Secured W&C Instruments Conditions. The Early Settlement Amount
(CDE) will be calculated on the basis of (i) if "Physical Delivery of Static Collateral Assets" is
specified not to be applicable in the applicable Final Terms, the market value of the Derivative
Hedge entered into by the Issuer and/or its Affiliates to hedge the Issuer's payment obligations
plus the proceeds of the liquidation and realisation of the Static Collateral, less any of the
hedge unwind costs of the Issuer and/or its Affiliates and costs of realising the Collateral
Assets or (ii) if the applicable Final Terms specify "Physical Delivery of Static Collateral
Assets" to be applicable, the market value of the Derivative Hedge entered into by the Issuer
and/or its Affiliates to hedge the Issuer's payment obligations less any hedge unwind costs of
the Issuer and/or its Affiliates and costs of realising the Collateral Assets.
Collateral Disruption Events are defined in the Secured W&C Instruments Conditions and
include, but are not limited to: (i) a Collateral Asset Default occurs or is continuing, as
determined by the Secured W&C Instruments Valuation Agent; or (ii) the Secured W&C
Instruments Collateral Provider being (A) unable, after using commercially reasonable efforts,
to acquire the necessary Collateral Assets or (B) subject to materially increased costs in
acquiring Collateral Assets; or (iii) the Issuer being unable, after using commercially
reasonable efforts, to find a suitable substitute or replacement Collateral Arrangement Party
(as defined below) following the termination of the relevant agreements or resignation or
removal, for any reason, of any Collateral Arrangement Party.
(b)
Secured Fully Floating W&C Instruments Conditions
If the Secured W&C Instruments Valuation Agent determines that a Collateral Disruption
Event has occurred or is continuing, the Issuer may in its sole discretion cancel all of the
relevant Secured W&C Instruments at the Early Settlement Amount following the occurrence
of a Collateral Disruption Event. The Early Settlement Amount will be calculated on the basis
of the fair market value of such Secured W&C Instrument less any hedge unwind costs of the
Issuer and/or its Affiliates.
Collateral Disruption Events are defined in the Secured W&C Instruments Conditions and
include, but are not limited to: (i) the Secured W&C Instruments Collateral Provider being (A)
unable, after using commercially reasonable efforts, to acquire the necessary Collateral Assets
or (B) subject to materially increased costs in acquiring Collateral Assets; or (ii) the Issuer
being unable, after using commercially reasonable efforts, to find a suitable substitute or
104
Description of the Collateral Arrangements relating to Secured W&C Instruments
replacement Collateral Arrangement Party (as defined below) following the termination of the
relevant agreements or resignation or removal, for any reason, of any Collateral Arrangement
Party.
For the avoidance of doubt, the occurrence of a Collateral Disruption Event will not constitute
a Secured W&C Instrument Event of Default.
10.
Early settlement following the occurrence of a Collateral Trigger Event under the
Secured Static/Floating W&C Instruments Conditions
If a "Collateral Trigger Event" is specified to be applicable in the applicable Final Terms and
the Secured W&C Instruments Valuation Agent determines that a Collateral Trigger Event has
occurred or is continuing, the Issuer shall cancel all of the relevant Secured W&C Instruments
at their Early Settlement Amount (CTE) and, if "Physical Delivery of Static Collateral Assets"
is specified to be applicable in the applicable Final Terms, deliver Static Collateral Assets that
make up the Entitlement (CTE) (including payment of any Fractional Cash Amount (CTE)) in
accordance with the Secured W&C Instruments Conditions. The Early Settlement Amount
(CTE) will be calculated on the basis of (i) if "Physical Delivery of Static Collateral Assets" is
specified not to be applicable in the applicable Final Terms, the intra-day market value of the
Derivative Hedge entered into by the Issuer and/or its Affiliates to hedge the Issuer's payment
obligations plus the proceeds of the liquidation and realisation of the Static Collateral, less any
of the hedge unwind costs of the Issuer and/or its Affiliates and costs of realising the
Collateral Assets or (ii) if the applicable Final Terms specify "Physical Delivery of Static
Collateral Assets" to be applicable, the intra-day market value of the Derivative Hedge entered
into by the Issuer and/or its Affiliates to hedge the Issuer's payment obligations less any hedge
unwind costs of the Issuer and/or its Affiliates and costs of realising the Collateral Assets.
A Collateral Trigger Event shall have occurred if the Secured W&C Instruments Valuation
Agent determines that, at any time on a day during the relevant observation period, the value
of a Secured W&C Instrument of the relevant series is (a) if "less than the Collateral Trigger
Level" is specified in the applicable Final Terms, less than the Collateral Trigger Level or (b)
if "less than or equal to the Collateral Trigger Level" is specified in the applicable Final
Terms, less than or equal to the Collateral Trigger Level. The Collateral Trigger Level will be
specified in the applicable Final Terms. The value of the relevant Secured W&C Instruments
will be determined by the Secured W&C Instruments Valuation Agent as an amount equal to
the sum of (x) the intra-day market value of the portion of the Derivative Hedge that relates to
such Secured W&C Instruments and (y) the intra-day market value of the relevant Static
Collateral Assets that relate to such Secured W&C Instruments.
The intra-day market value of the Derivative Hedge and of the Static Collateral Assets shall be
determined by the Secured W&C Instruments Valuation Agent by reference to such factors as
it considers to be appropriate in its discretion, including without limitation:
(a)
in respect of the Derivative Hedge, the present value of the future payment obligations of the
Issuer under the relevant Secured W&C Instruments minus the present value of the future cash
flows of the Static Collateral Assets that secure such Secured W&C Instruments, and taking
into account:
(i)
spot and forward market prices or values for the underlying asset(s) of the Derivative
Hedge and other relevant economic variables (such as interest rates and exchange
rates);
(ii)
the correlation between the market prices or value of the underlying asset(s) of the
Derivative Hedge and other relevant economic variables;
(iii)
historic and implied volatility of the market prices or value of the underlying asset(s) of
the Derivative Hedge;
(iv)
the remaining time until expiry of the Derivative Hedge;
(v)
internal pricing models; and
105
Description of the Collateral Arrangements relating to Secured W&C Instruments
(b)
11.
(vi)
prices at which other market participants might bid for similar Derivative Hedge; and
(vii)
the valuation using relevant economic variables of the cash flows and/or coupon
payments of the Static Collateral Assets that secure such Secured W&C Instruments.
in respect of the relevant Static Collateral Assets:
(i)
bid prices (if available) for a nominal amount of such Static Collateral Assets equal to
the minimum nominal amount that may be quoted for bids on the screen page specified
in the applicable Final Terms; and
(ii)
internal pricing models.
Default in provision of Collateral Assets
A "Required Collateral Default" shall occur if, following receipt by the Secured W&C
Instruments Collateral Provider of a Collateral Agent Notice which indicates that the
Collateral Test is not satisfied (or will not be satisfied after taking into account any
adjustments specified in a Collateral Test Notice), the Secured W&C Instruments Collateral
Provider fails to instruct the Collateral Agent to transfer sufficient Collateral Assets into the
Collateral Account and such failure results in the Collateral Test not being satisfied for one
Collateral Business Day following delivery of such Collateral Agent Notice (when
determining whether the Collateral Test has been so satisfied, only Collateral Assets which
have actually been transferred to the relevant Collateral Account shall be taken into account).
Following the occurrence of a Required Collateral Default, the Collateral Agent will send a
notice (a "Required Collateral Default Notice") to the Secured W&C Instruments Collateral
Provider and the Security Agent, specifying that a Required Collateral Default has occurred.
The Secured W&C Instruments Collateral Provider shall notify the Issuer of the Required
Collateral Default Notice. The Security Agent shall as soon as reasonably practicable after
receiving a Required Collateral Default Notice give notice to the relevant Instrument Agent
and the relevant Instrument Agent will give notice as soon as reasonably practicable to all
relevant Holders of the receipt of a Required Collateral Default Notice.
12.
Secured W&C Instruments Events of Default
The Secured W&C Instruments are subject to various events of default (each a "Secured
W&C Instrument Event of Default"), including, but not limited to, (i) the Issuer's failure to
pay Additional Amounts and Cash Settlement Amounts or to deliver any Entitlement, (ii)
insolvency proceedings against the Issuer, (iii) the occurrence of a Required Collateral
Default, or (iv) a failure by the Issuer and/or the Secured W&C Instruments Collateral
Provider to comply with or perform its obligations under the Security Agency Agreement or
the relevant Deed of Charge.
If a Secured W&C Instrument Event of Default occurs and is continuing with respect to any
Series of Secured W&C Instruments, then any Holder may, at its option, send an Acceleration
Notice through the relevant Clearing System to the relevant Instrument Agent. If the Holder(s)
of at least 33 per cent. in aggregate Notional Amount or by number (as applicable) of such
Non-Waived W&C Instruments outstanding send Acceleration Notice(s) through the relevant
Clearing System to the relevant Instrument Agent, and if any such default is not waived or
cured in accordance with the Secured W&C Instruments Conditions an "Acceleration Event"
shall occur in respect of such Series of Secured W&C Instruments.
The relevant Instrument Agent will as soon as reasonably practicable after the occurrence of
an Acceleration Event send an instruction (an "Acceleration Instruction") to the Security
Agent confirming that the Holders of at least 33 per cent. in aggregate Notional Amount or by
number (as applicable) of the Non-Waived W&C Instruments outstanding have delivered
Acceleration Notices and thereby instructing the Security Agent to, inter alia, enforce the
security constituted by the relevant Deed of Charge and distribute the proceeds (and, if
applicable, physically settle the Entitlement), in each case, in accordance with its terms, the
Secured W&C Instruments Conditions and the Security Agency Agreement.
106
Description of the Collateral Arrangements relating to Secured W&C Instruments
If the Security Agent receives an Acceleration Instruction, the Security Agent shall (acting in
accordance with such Acceleration Instruction), inter alia, as soon as reasonably practicable,
(i) deliver a Collateral Enforcement Notice to each of the Issuer, the Secured W&C
Instruments Collateral Provider and the relevant Instrument Agent, (ii) give notice to the
relevant Instrument Agent of, inter alia, the occurrence of an Acceleration Event, upon which
the relevant Instrument Agent will give notice of the same to all relevant Holders, and (iii)
appoint a Disposal Agent, if a Disposal Agent has not already been appointed.
13.
Collateral Enforcement
(a)
Secured Static/Floating W&C Instruments Conditions
Following delivery of a Collateral Enforcement Notice, the Security Agent (acting in
accordance with an Acceleration Instruction) shall enforce the security constituted by the
relevant Deed of Charge relating to the relevant Collateral Pool in accordance with the terms
thereof and the Secured W&C Instruments Conditions and the terms of the Security Agency
Agreement and will give instructions to the Disposal Agent to effect a liquidation and
realisation of the Collateral Assets in the Collateral Pool which secures such Series of Secured
W&C Instruments: (i) by liquidating or realising all Collateral Assets in the Collateral Pool; or
(ii) where "Physical Delivery of Static Collateral Assets" is specified to be applicable in the
applicable Final Terms: (A) firstly, by liquidating or realising the MTM Collateral Assets in
the Collateral Pool in accordance with the Secured W&C Instruments Conditions; (B)
secondly, to the extent the proceeds available following the liquidation and realisation of the
MTM Collateral Assets in the Collateral Pool are insufficient to make payment of any
amounts payable to the Secured Parties ranking prior to the Holders of the Non-Waived W&C
Instruments in accordance with the Order of Priority specified in the applicable Final Terms,
by liquidating or realising an amount of Static Collateral Assets sufficient to make the
remainder of such payments in accordance with Secured W&C Instruments; and (C) thirdly,
by liquidating or realising an amount of Static Collateral Assets to the cover any outstanding
hedge unwind costs; provided that, in the case of (B) and (C), if the Static Collateral Assets
are a Basket of Eligible Debt Securities, the amount of each Eligible Debt Security liquidated
or realised should be proportionate to the percentage weighting for each such Eligible Debt
Security within the Basket of Eligible Debt Securities as specified in the applicable Final
Terms.
The Security Agent (acting in accordance with an Acceleration Instruction) or the Disposal
Agent (acting on behalf of and at the instruction of the Security Agent) will (i) liquidate or
realise the MTM Collateral Assets and, if applicable, the Static Collateral Assets and distribute
the relevant Collateral Enforcement Proceeds Share to the relevant Holders or (ii) where
"Physical Delivery of Static Collateral Assets is specified to be applicable in the applicable
Final Terms, arrange for delivery of the Entitlement to the relevant Holders, in each case in
accordance with the Order of Priority specified in the applicable Final Terms and the Secured
Static/Floating W&C Instruments Conditions.
(b)
Secured Fully Floating W&C Instruments Conditions
Following receipt of a Collateral Enforcement Notice, the Security Agent (acting in
accordance with an Acceleration Instruction) shall enforce the security constituted by the
relevant Deed of Charge relating to the relevant Collateral Pool in accordance with the terms
thereof and the Secured W&C Instruments Conditions and the terms of the Security Agency
Agreement and will give instructions to the Disposal Agent to (i) liquidate or realise the
Collateral Assets in the Collateral Pool and subsequently distribute the relevant Collateral
Enforcement Proceeds Share to the relevant Holders or (ii) where "Physical Delivery of
Collateral Assets" is specified to be applicable in the applicable Final Terms, arrange for
delivery of the relevant Entitlement to the relevant Holders, in each case in accordance with
the Order of Priority specified in the applicable Final Terms and the Secured Fully Floating
W&C Instruments Conditions.
14.
Enforcement and realisation by Holders
107
Description of the Collateral Arrangements relating to Secured W&C Instruments
No Holder shall be entitled to enforce a Deed of Charge or to proceed directly against the
Secured W&C Instruments Collateral Provider to enforce the other provisions of a Charged
Document unless the Security Agent, having become bound to so enforce or proceed, fails so
to do within a reasonable time and such failure is continuing or the Security Agent is
prevented from enforcing a Deed of Charge by any court order. If a Holder becomes so
entitled, then such Holder shall not be entitled to enforce the relevant Deed of Charge or
Charged Document in the United Kingdom.
If the Security Agent becomes bound to enforce a Deed of Charge or a Charged Document and
fails to do so within a reasonable time and such failure is continuing or the Security Agent is
prevented from enforcing a Deed of Charge by any court order, then, without prejudice to the
paragraph above, Holder(s) of at least 33 per cent. in aggregate Notional Amount or by
number (as applicable) of such Non-Waived W&C Instruments outstanding may remove the
Security Agent and appoint a replacement Security Agent in accordance with the Secured
W&C Instrument Conditions and the terms of the Security Agency Agreement.
Neither the Issuer nor any Holder shall be entitled to enforce a Triparty Account Control
Agreement or the Custodian Agreement or to proceed directly against the Collateral Agent or
the Custodian to enforce the terms of the relevant Triparty Account Control Agreement or the
Custodian Agreement (as applicable). Neither the Collateral Agent nor the Custodian shall
have any liability to the Issuer or any Holder as to the consequence of any actions taken by the
Collateral Agent or Custodian (as applicable).
15.
Physical Delivery of Collateral Assets Disruption Event
Where "Physical Delivery of Collateral Assets" is specified as applicable in the applicable
Final Terms, in certain circumstances, if, in the opinion of the Security Agent or the Disposal
Agent (acting on behalf of and at the instruction of the Security Agent), delivery of all or some
of the Static Collateral Assets (in respect of Secured W&C Instruments to which the Secured
Static/Floating W&C Instruments Conditions apply) or the Collateral Assets (in respect of
Secured W&C Instruments to which the Secured Fully Floating W&C Instruments Conditions
apply) forming part of the Entitlement is not possible for a specified period of time, then the
Security Agent, or the Disposal Agent (acting on behalf of and at the instruction of the
Security Agent), in lieu of physical settlement, may sell or realise such undeliverable Static
Collateral Assets or Collateral Assets, as applicable, and deliver the proceeds thereof to
Holders.
16.
Replacement of Collateral Arrangement Parties
Each of the Collateral Transaction Documents contains, or will contain, provisions for the
termination of such agreement and, as the case may be, the removal or replacement of the role
of the relevant party appointed thereunder (each a "Collateral Arrangement Party"). Any
such termination, removal and/or replacement will be effected in accordance with the
provisions of such agreements and (other than in respect of the Custodian or the Collateral
Agent) the Secured W&C Instruments Conditions and may be effected without the consent of
Holders. No such termination or removal shall be effective until a replacement entity has been
appointed. The Secured W&C Instruments Valuation Agent shall be required to give notice to
Holders of any such termination, removal and/or replacement.
A replacement Collateral Arrangement Party may only be appointed when the following
conditions are fulfilled: the replacement Collateral Arrangement Party (other than the
replacement Custodian or Collateral Agent): (i) is an institution incorporated and in good
standing in the United States of America or one of the States thereof or in a state which is, as
at the date of the relevant Collateral Transaction Document, a member state of the European
Union; (ii) has the requisite resources and legal capacity to perform the duties imposed upon
the relevant existing Collateral Arrangement Party under the relevant Collateral Transaction
Document and is a recognised provider of the services provided by such Collateral
Arrangement Party; (iii) is legally qualified and has the capacity to act as successor to the
relevant Collateral Arrangement Party on the terms of the relevant Collateral Transaction
Document; and (iv) whose performance of its duties under the relevant Collateral Transaction
Document will not cause the Issuer and/or Secured W&C Instruments Collateral Provider to
108
Description of the Collateral Arrangements relating to Secured W&C Instruments
become subject to tax in any jurisdiction where such successor is incorporated, established,
doing business, has a permanent establishment or is otherwise considered tax resident.
The Security Agency Agreement contains, or will contain, provisions for the termination of
such agreement and the removal or replacement of the Security Agent appointed thereunder.
Any such termination, removal and/or replacement will be effected in accordance with the
provisions of the Security Agency Agreement and may be effected without the consent of
Holders. No such termination or removal shall be effective until a replacement Security Agent
has been appointed.
109
Form of the Instruments
FORM OF THE INSTRUMENTS
Words and expressions defined in the "Terms and Conditions of the Notes" or "Terms and Conditions
of the W&C Instruments", as applicable, shall have the same meanings in this Form of the Instruments.
Form of the Notes
Registered Notes
Each Tranche of Notes issued in registered form ("Registered Notes") will be represented by a global
registered note (a "Global Registered Note") or Notes in definitive form ("Definitive Registered
Notes") represented by individual note certificates ("Individual Note Certificates"), as the case may
be, together with the attached or incorporated Terms and Conditions of the Notes and the applicable
Final Terms. Each Global Registered Note will be deposited on or around the relevant issue date with
either (a) the Common Depositary for Euroclear, Clearstream, Luxembourg or any other relevant
clearing system, in the case of a Global Registered Note not intended to be issued under the NSS, and
registered in the name of a nominee of the Common Depositary, or (b) the Common Safekeeper for
Euroclear, Clearstream, Luxembourg or any other relevant clearing system, in the case of a Global
Registered Note intended to be issued under the NSS, and registered in the name of a nominee of the
Common Safekeeper.
The NSS form allows Notes in registered form to be issued and held in a manner which will permit
them to be recognised as eligible collateral for monetary policy of the central banking system for the
euro (the "Eurosystem") and intra-day credit operations by the Eurosystem either upon their issue or at
any other time prior to the applicable maturity date. However, such recognition will depend upon
satisfaction of the Eurosystem eligibility criteria.
Beneficial interests in a Global Registered Note will be exchangeable for Definitive Registered Notes
represented by Individual Note Certificates if: (1) an Event of Default (as defined herein) occurs and is
continuing, (2) the relevant Issuer is notified that Euroclear and/or Clearstream, Luxembourg or any
other relevant clearing system has been closed for business for a continuous period of 14 calendar days
(other than by reason of holiday, statutory or otherwise) or has announced an intention permanently to
cease business or has in fact done so and no alternative clearing system approved by the holders of the
Notes is available, or (3) the relevant Issuer, after notice to the Principal Paying Agent, determines to
issue the Notes in definitive form.
Whenever the Global Registered Note is to be exchanged for Individual Note Certificates, the relevant
Issuer shall procure that Individual Note Certificates will be issued in an aggregate principal amount
equal to the principal amount of the Global Registered Note within five Business Days of the delivery
by or on behalf of the registered holder of the Global Registered Note to the Principal Paying Agent of
such information as is required to complete and deliver such Individual Note Certificates (including,
without limitation, the names and addresses of the persons in whose names the Individual Note
Certificates are to be registered and the principal amount of each such person's holding) against the
surrender of the Global Registered Note at the specified office of the Principal Paying Agent.
Such exchange will be effected in accordance with the provisions of the New York Law Agency
Agreement (in the case of Notes issued by BAC) or the English Law Agency Agreement (in the case of
Notes issued by MLBV) and, in either case, the regulations concerning the transfer and registration of
Notes scheduled thereto, and, in particular, shall be effected without charge to any holder, but against
such indemnity as the Principal Paying Agent may require in respect of any tax or other duty of
whatsoever nature which may be levied or imposed in connection with such exchange.
If:
(a)
Individual Note Certificates have not been delivered by 5.00 p.m. (London time) on the
thirtieth calendar day after they are due to be issued and delivered in accordance with the
terms of the Global Registered Note; or
(b)
any of the Notes represented by a Global Registered Note (or any part of it) has become due
and payable in accordance with the Terms and Conditions of the Notes or the date for final
redemption of the Notes has occurred and, in either case, payment in full of the amount of
principal falling due with all accrued interest thereon has not been made to the holder of the
110
Form of the Instruments
Global Registered Note in accordance with the terms of the Global Registered Note on the due
date for payment,
then the Global Registered Note (including the obligation to deliver Individual Note Certificates) will
become void at 5.00 p.m. (London time) on such thirtieth calendar day (in the case of (a) immediately
above) or at 5.00 p.m. (London time) on such due date (in the case of (b) immediately above) and the
holder of the Global Registered Note will have no further rights thereunder (but without prejudice to
the rights which the holder of the Global Registered Note or others may have under the MLBV Notes
Deed of Covenant (as defined under "Terms and Conditions of the Notes")). With respect to Notes
issued by MLBV, under the MLBV Notes Deed of Covenant, persons shown in the records of
Euroclear and/or Clearstream, Luxembourg and/or any other relevant clearing system as being entitled
to an interest in a Global Registered Note will acquire directly against MLBV all those rights to which
they would have been entitled if, immediately before the Global Registered Note became void, they
were entered in the Register as the holder of Notes in an aggregate principal amount equal to the
principal amount of Notes they were shown as holding in the records of Euroclear and/or Clearstream,
Luxembourg and/or any other relevant clearing system.
Swedish Notes and Finnish Notes
If the Notes are to be issued into and cleared through the Swedish CSD ("Swedish Notes"), such
Swedish Notes will be issued in dematerialised and uncertificated book-entry form in accordance with
the Swedish Financial Instruments Accounts Act (in Swedish: lag (1998: 1479) om kontoföring av
finansiella instrument) and the Swedish CSD Rules.
If the Notes are to be issued into and cleared through Euroclear Finland ("Finnish Notes"), such
Finnish Notes will be issued in dematerialised and uncertificated book-entry form in accordance with
the Finnish Act on the Book-Entry System and Clearing Operations (in Finnish: laki arvoosuusjärjestelmästä ja selvitystoiminnasta (749/2012)) and the Finnish Act on Book-Entry Accounts
(in Finnish: laki arvo-osuustileistä (827/1991)) and the Euroclear Finland Rules.
Form of the Warrants
Registered Warrants
If the applicable Final Terms specify that Warrants are eligible for sale exclusively in the United States
or to, or for the account or benefit of, United States Persons (as defined below) pursuant to an
exemption from the registration requirements of the U.S. Securities Act of 1933, as amended (the
"Securities Act"), the Warrants sold (a) in the United States to qualified institutional buyers within the
meaning of Rule 144A ("Rule 144A") under the Securities Act ("QIBs") who are also each a qualified
purchaser (each a "QP") within the meaning of Section 3(c)(7) and as defined in Section 2(a)(51) of the
U.S. Investment Company Act of 1940, as amended (the "1940 Act") and the rules thereunder or (b) to,
or for the account or benefit of, United States Persons who are QIBs and also QPs will be represented
by a Rule 144A Global Warrant (the "Rule 144A Global Warrant") which will be in registered form
and either (i) deposited with the U.S. Warrant Agent as a custodian for, and registered in the name of a
nominee of, The Depository Trust Company ("DTC"); or (ii) deposited with, and registered in the
name of a nominee of, the Common Depositary.
Unless otherwise indicated, as used in this Offering Circular, "United States Person" means a person
which is a "U.S. person" as defined by Regulation S under the Securities Act or a "United States
person" as defined in Section 7701(a)(30) of the U.S. Internal Revenue Code of 1986, as amended, and
in U.S. Treasury regulations. Warrants which may be sold as described above to United States Persons
who are QIBs and also QPs in reliance on Rule 144A are referred to in this Offering Circular as "Rule
144A Warrants", which term shall also include, where the context requires, Rule 144A Warrants sold
as described in the succeeding paragraph that are represented by a Regulation S/Rule 144A Global
Warrant (as defined below).
If specified in the applicable Final Terms, the Warrants may be sold (a) in the United States to QIBs
who are also QPs or (b) to, or for the account or benefit of, United States Persons who are QIBs and
also QPs and, in either case, concurrently outside the United States to non-United States Persons and
will be represented by a Regulation S/Rule 144A Global Warrant (the "Regulation S/Rule 144A
111
Form of the Instruments
Global Warrant") which will be in registered form and deposited with, and registered in the name of a
nominee for, the Common Depositary.
If the Warrants are to be issued into and transferred through accounts at Euroclear and Clearstream,
Luxembourg, and are not eligible for sale in the United States or to, or for the account or benefit of,
United States Persons, such Series of Warrants will on issue be constituted by a global warrant in
registered form (the "Euroclear/CBL Global Registered Warrant"), which will be deposited with,
and registered in the name of the nominee of, the Common Depositary.
Each Rule 144A Global Warrant, Regulation S/Rule 144A Global Warrant and Euroclear/CBL Global
Registered Warrant will be exchangeable in whole, but not in part, for individual warrant certificates
("individual warrant certificates") in a form to be agreed between the relevant Issuer and the
Principal Warrant Agent or U.S. Warrant Agent, as applicable, representing Warrants in definitive form
("Definitive Registered Warrants"), only upon the occurrence of an Exchange Event. For these
purposes, "Exchange Event" means that (a) in the case of Warrants represented by a Rule 144A
Global Warrant held through DTC, either DTC has notified the Issuer that it is unwilling or unable to
continue as a depositary for that Rule 144A Global Warrant held through DTC and no alternative
clearing system is available, or DTC has ceased to be a "clearing agency" registered under the
Exchange Act, and no alternative clearing system is available, (b) in the case of Warrants registered in
the name of a nominee of the Common Depositary, the relevant Issuer has been notified that both
Euroclear and Clearstream, Luxembourg have been closed for business for a continuous period of 14
calendar days (other than by reason of holiday, statutory or otherwise) or have announced an intention
permanently to cease business or have in fact done so and, in any such case, no successor clearing
system is available or (c) the relevant Issuer or the Guarantor has or will become subject to adverse tax
consequences which would not be suffered were the Warrants held in definitive form. The relevant
Issuer will give notice of any such Exchange Event to the Holders in accordance with W&C
Instruments Condition 12 (Notices).
Whenever the Global Warrant is to be exchanged for individual warrant certificates, such individual
warrant certificates shall be issued in equal number to the number of Warrants represented by the
Global Warrant within five business days of the delivery, by or on behalf of the Holder, DTC or such
other relevant clearing system, to the Principal Warrant Agent or U.S. Warrant Agent, as applicable, of
such information as is required to complete and deliver such individual warrant certificates (including,
without limitation, the names and addresses of the persons in whose names the individual warrant
certificates are to be registered and the number or nominal amount of each such person's holding)
against the surrender of the Global Warrant at the specified office of the Principal Warrant Agent or
U.S. Warrant Agent, as applicable.
Such exchange will be effected in accordance with the provisions of the English Law Agency
Agreement and the regulations concerning the transfer and registration of Warrants scheduled thereto
and, in particular, shall be effected without charge to any Holder, but against such indemnity as the
Principal Warrant Agent or U.S. Warrant Agent, as applicable, may require in respect of any tax or
other duty of whatsoever nature which may be levied or imposed in connection with such exchange.
If:
(a)
individual warrant certificates have not been issued and delivered by 5.00 p.m. (London time)
on the thirtieth calendar day after the date on which the same are due to be issued and
delivered in accordance with the terms of the Global Warrant; or
(b)
the date for final settlement of the Warrants has occurred and payment in full of the amount
due has not been made to the Holder on the due date for payment in accordance with the terms
of the Global Warrant,
then the Global Warrant (including the obligation to deliver individual warrant certificates) will
become void at 5.00 p.m. (London time) on such thirtieth calendar day (in the case of (a) immediately
above) or at 5.00 p.m. (London time) on such due date (in the case of (b) immediately above) and the
Holder of the Global Warrant will have no further rights thereunder (but without prejudice to the rights
which the Holder of the Global Warrant or others may have under the W&C Instruments Deed of
Covenant (as defined under "Terms and Conditions of the W&C Instruments")). Under the W&C
Instruments Deed of Covenant, each Holder is entitled to exercise or enforce in respect of each Warrant
112
Form of the Instruments
held by him, the rights and obligations attaching to the relevant Warrant as set out in, and subject to,
the W&C Instruments Deed of Covenant, the W&C Instruments Conditions and the applicable Final
Terms issued in respect of such Warrants.
CBF Warrants
If the Warrants are to be issued into and transferred through accounts at Clearstream Banking AG,
Frankfurt am Main ("Clearstream, Frankfurt") ("CBF Warrants"), such CBF Warrants are not
eligible for sale in the United States or to, or for the account or benefit of, United States Persons, and
will on issue be constituted by a global warrant in bearer form, provided, however, that the CBF
Warrants will be treated as in registered form for United States federal income tax purposes. The
relevant global warrant will be delivered on or prior to the issue date of the relevant Series of CBF
Warrants to Clearstream, Frankfurt.
Swedish Warrants and Finnish Warrants
If the Warrants are to be issued into and cleared through the Swedish CSD ("Swedish Warrants"),
such Swedish Warrants are not eligible for sale in the United States or to, or for the account or benefit
of, United States Persons, and will be issued in dematerialised and uncertificated book-entry form in
accordance with the Swedish Financial Instruments Accounts Act (in Swedish: lag (1998: 1479) om
kontoföring av finansiella instrument) and the Swedish CSD Rules.
If the Warrants are to be issued into and cleared through Euroclear Finland ("Finnish Warrants"),
such Finnish Warrants are not eligible for sale in the United States or to, or for the account or benefit
of, United States Persons, and will be issued in dematerialised and uncertificated book-entry form in
accordance with the Finnish Act on the Book-Entry System and Clearing Operations (in Finnish: laki
arvo-osuusjärjestelmästä ja selvitystoiminnasta (749/2012)) and the Finnish Act on Book-Entry
Accounts (in Finnish: laki arvo-osuustileistä (827/1991)) and the Euroclear Finland Rules.
Swiss Warrants
If the Warrants are to be listed on SIX Swiss Exchange and/or issued into and/or transferred through
accounts at SIS, including such Warrants that are Swiss COSIs ("Swiss Warrants"), each Tranche of
such Swiss Warrants will on issue be constituted as uncertificated securities which come into effect
once registered in the "uncertificated securities book" as provided for in the English Law Agency
Agreement and which will be entered into the main register (Hauptregister) of SIS on the Issue Date of
such Tranche.
As a matter of Swiss law, once Swiss Warrants issued in the form of uncertificated securities are
entered into the main register (Hauptregister) of SIS and are entered into the accounts of one or more
participants of SIS, such Swiss Warrants will constitute intermediated securities (Bucheffekten) within
the meaning of the Swiss Federal Intermediated Securities Act (Bucheffektengesetz). No Holder of
Swiss Warrants will at any time have the right to effect or demand the conversion of the uncertificated
securities representing such Swiss Warrants into, or the delivery of, Warrants in definitive form.
However, Swiss Warrants issued in uncertificated form will be exchangeable for individual certificates
("Swiss Individual Warrant Certificates") representing definitive Warrants in registered form
("Swiss Definitive Registered Warrants") in the limited circumstances described in the relevant
W&C Instruments Conditions.
Whenever a Swiss Warrant in uncertificated form is to be exchanged for Swiss Individual Warrant
Certificates, the relevant Issuer shall procure that the number or nominal amount of Swiss Individual
Warrant Certificates issued will be equal to the number or nominal amount represented by the Swiss
Warrants in uncertificated form within five Business Days of the delivery, by or on behalf of the
registered holder of the Swiss Warrants in uncertificated form to the Swiss Programme Agent of such
information as is required to complete and deliver such Swiss Individual Warrant Certificates
(including, without limitation, the names and addresses of the persons in whose names the Swiss
Individual Warrant Certificates are to be registered and the number or nominal amount of each such
person's holding).
Such exchange will be effected in accordance with the provisions of the English Law Agency
Agreement and, in particular, shall be effected without charge to any Holder, but against such
113
Form of the Instruments
indemnity as the Swiss Programme Agent may require in respect of any tax or other duty of whatsoever
nature which may be levied or imposed in connection with such exchange.
Form of the Certificates
Registered Certificates
If the applicable Final Terms indicate that the Certificates are to be issued in registered form
("Registered Certificates"), such Registered Certificates will be issued in global registered form
("Global Registered Certificates"), as specified in the applicable Final Terms. Each Global
Registered Certificate will be deposited on or around the relevant Issue Date with, and registered in the
name of the nominee for, the Common Depositary.
Each Global Registered Certificate will be exchangeable in whole, but not in part, for individual
certificates ("individual certificates"), representing Certificates in definitive form ("Definitive
Registered Certificates"), if the relevant Issuer has been notified that Euroclear or Clearstream,
Luxembourg or any other relevant clearing system is closed for business for a continuous period of 14
calendar days (other than by reason of holiday, statutory or otherwise) or has announced an intention
permanently to cease business or has in fact done so and no alternative clearing system approved by the
Holders of the Certificates is available.
Whenever the Global Registered Certificate is to be exchanged for individual certificates, the relevant
Issuer shall procure that individual certificates will be issued in number or nominal amount equal to the
number or nominal amount of the Global Registered Certificates then outstanding within five Business
Days of the delivery, by or on behalf of the registered holder of the Global Registered Certificate to the
Principal Certificate Agent of such information as is required to complete and deliver such individual
certificates (including, without limitation, the names and addresses of the persons in whose names the
individual certificates are to be registered and the number or nominal amount of each such person's
holding) against the surrender of the Global Registered Certificate at the specified office of the
Principal Certificate Agent.
Such exchange will be effected in accordance with the provisions of the English Law Agency
Agreement and the regulations concerning the transfer and registration of Certificates scheduled thereto
and, in particular, shall be effected without charge to any Holder, but against such indemnity as the
Principal Certificate Agent may require in respect of any tax or other duty of whatsoever nature which
may be levied or imposed in connection with such exchange.
If:
(a)
individual certificates have not been delivered by 5.00 p.m. (London time) on the thirtieth
calendar day after they are due to be issued and delivered in accordance with the terms of the
Global Registered Certificate; or
(b)
the date for final settlement of the Certificates has occurred and payment in full of all amounts
due has not been made to the Holder of the Global Registered Certificate on the due date for
payment in accordance with the terms of the Global Registered Certificate,
then the Global Registered Certificate (including the obligation to deliver individual certificates) will
become void at 5.00 p.m. (London time) on such thirtieth calendar day (in the case of (a) immediately
above) or at 5.00 p.m. (London time) on such due date (in the case of (b) immediately above) and the
Holder of the Global Registered Certificate will have no further rights thereunder (but without
prejudice to the rights which the holder of the Global Registered Certificate or others may have under
the W&C Instruments Deed of Covenant). Under the W&C Instruments Deed of Covenant, each
Holder is entitled to exercise or enforce in respect of each Certificate held by him, the rights and
obligations attaching to the relevant Certificate as set out in, and subject to, the W&C Instruments
Deed of Covenant, the W&C Instruments Conditions and the applicable Final Terms issued in respect
of such Certificates.
CBF Certificates
If the Certificates are to be issued into and transferred through accounts at Clearstream, Frankfurt
("CBF Certificates"), such CBF Certificates will on issue be constituted by a permanent global
114
Form of the Instruments
certificate in bearer form, provided, however, that the CBF Certificates will be treated as in registered
form for United States federal income tax purposes. The permanent global certificate will be delivered
on or prior to the Issue Date of the relevant Series of CBF Certificates to Clearstream, Frankfurt.
Swedish Certificates and Finnish Certificates
If the Certificates are to be issued into and cleared through the Swedish CSD ("Swedish Certificates"),
such Swedish Certificates will be issued in dematerialised and uncertificated book-entry form in
accordance with the Swedish Financial Instruments Accounts Act (in Swedish: lag (1998:1479) om
kontoföring av finansiella instrument) and the Swedish CSD Rules.
If the Certificates are to be issued into and cleared through Euroclear Finland ("Finnish Certificates"),
such Finnish Certificates will be issued in dematerialised and uncertificated book-entry form in
accordance with the Finnish Act on the Book-Entry System and Clearing Operations (in Finnish: laki
arvo-osuusjärjestelmästä ja selvitystoiminnasta (749/2012)), the Finnish Act on Book-Entry Accounts
(in Finnish: laki arvo-osuustileistä (827/1991)) and the Euroclear Finland Rules.
Swiss Certificates
If the Certificates are to be listed on SIX Swiss Exchange and/or issued into and transferred through
accounts at SIS, including Certificates that are Swiss COSIs ("Swiss Certificates"), each Tranche of
such Swiss Certificates will on issue be constituted as uncertificated securities which come into effect
once registered in the "uncertificated securities book" as provided for in the English Law Agency
Agreement and which will be entered into the main register (Hauptregister) of SIS on the Issue Date of
such Tranche.
As a matter of Swiss law, once Swiss Certificates issued in the form of uncertificated securities are
entered into the main register (Hauptregister) of SIS and entered into the accounts of one or more
participants of SIS, the Swiss Certificates represented thereby will constitute intermediated securities
(Bucheffekten) within the meaning of the Swiss Federal Intermediated Securities Act
(Bucheffektengesetz). No Holder of Swiss Certificates will at any time have the right to effect or
demand the conversion of the uncertificated securities representing such Swiss Certificates into, or the
delivery of, Certificates in definitive form. However, Swiss Certificates issued in uncertificated form
will be exchangeable for individual certificates ("Swiss Individual Certificates") representing
definitive Certificates in registered form ("Swiss Definitive Registered Certificates") in the limited
circumstances described in the relevant W&C Instruments Conditions.
Whenever a Swiss Certificate in uncertificated form is to be exchanged for Swiss Individual
Certificates, the relevant Issuer shall procure that the number or nominal amount of Swiss Individual
Certificates issued will be equal to the number or nominal amount represented by the Swiss Certificates
in uncertificated form within five Business Days of the delivery, by or on behalf of the registered
holder of the Swiss Certificates in uncertificated form to the Swiss Programme Agent of such
information as is required to complete and deliver such Swiss Individual Certificates (including,
without limitation, the names and addresses of the persons in whose names the Swiss Individual
Certificates are to be registered and the number or nominal amount of each such person's holding).
Such exchange will be effected in accordance with the provisions of the English Law Agency
Agreement and, in particular, shall be effected without charge to any Holder, but against such
indemnity as the Swiss Programme Agent may require in respect of any tax or other duty of whatsoever
nature which may be levied or imposed in connection with such exchange.
115
Form of Final Terms of the Notes
FORM OF FINAL TERMS OF THE NOTES
[Date]
[BANK OF AMERICA CORPORATION] [MERRILL LYNCH B.V.]
Issue of [Aggregate Nominal Amount of Tranche] [Title of Notes]
under the Bank of America Corporation, Merrill Lynch B.V. and Merrill Lynch International &
Co. C.V.
Note, Warrant and Certificate Programme
[unconditionally and irrevocably guaranteed as to payment and delivery obligations
by Bank of America Corporation]1
[Include the following warning for all Notes where capital is at risk:
INVESTING IN THE NOTES PUTS YOUR CAPITAL AT RISK. YOU MAY LOSE SOME
[OR ALL] OF YOUR INVESTMENT.]
The Offering Circular referred to below (as completed by these Final Terms) has been prepared on the
basis that any offer of Notes in any Member State of the European Economic Area which has
implemented the Prospectus Directive (Directive 2003/71/EC) (as amended by Directive 2010/73/EU,
the "Prospectus Directive") (each, a "Relevant Member State") will be made pursuant to an
exemption under the Prospectus Directive, as implemented in that Relevant Member State, from the
requirement to publish a prospectus for offers of the Notes. Accordingly any person making or
intending to make an offer of the Notes in that Relevant Member State may only do so in
circumstances in which no obligation arises for the Issuer or any Dealer to publish a prospectus
pursuant to Article 3 of the Prospectus Directive or supplement a prospectus pursuant to Article 16 of
the Prospectus Directive, in each case, in relation to such offer. Neither the Issuer nor any Dealer has
authorised, nor do they authorise, the making of any offer of Notes in any other circumstances.
[The Notes will not be offered, sold or otherwise distributed in or from Switzerland and neither these
Final Terms nor any other document relating to the Notes may be distributed in Switzerland in
connection with any such offering, sale or distribution, except to selected qualified investors in
accordance with the Swiss Federal Act on Collective Investment Schemes.]2
[The Notes have not been and will not be registered under U.S. Securities Act of 1933, as amended (the
"Securities Act") or under any U.S. state securities laws. The Notes may not be offered, sold, resold,
traded, transferred, pledged, delivered or redeemed, directly or indirectly, within the United States of
America (including the U.S. states and the District of Columbia), its territories, its possessions and
other areas subject to its jurisdiction (the "United States") or to, or for the account or benefit of, U.S.
persons (as defined by Regulation S under the Securities Act) (other than distributors) except in
accordance with Regulation S under the Securities Act or pursuant to an exemption from, or in a
transaction not subject to, the registration requirements of the Securities Act.]3
The Notes are unsecured and are not and will not be savings accounts, deposits or obligations of, or
otherwise guaranteed by, any bank. The Notes do not evidence deposits of Bank of America, N.A. or
any other bank and are not insured by the U.S. Federal Deposit Insurance Corporation, the Deposit
Insurance Fund or any other insurer or governmental agency or instrumentality.
[The Notes, the Guarantee and, in certain cases, the Entitlement have not been and will not be
registered under the U.S. Securities Act of 1933, as amended (the "Securities Act") or under any U.S.
state securities laws and the Notes may not be offered, sold, resold, traded, transferred, pledged,
delivered or redeemed, directly or indirectly, at any time within the United States or to, or for the
account or benefit of, any United States Person (as defined herein).
1
Remove references to the Guarantor and the Guarantee if BAC is the Issuer.
2
Consider including whenever Notes are not publicly offered in Switzerland.
3
Include for Notes issued by BAC.
116
Form of Final Terms of the Notes
For the purposes hereof, "United States Person" means a person which is a "U.S. person" as defined
by Regulation S under the Securities Act or a "United States person" as defined in Section 7701(a)(30)
of the U.S. Internal Revenue Code of 1986, as amended, and in U.S. Treasury regulations.]1
The purchase of Notes involves substantial risks and is suitable only for investors who have the
knowledge and experience in financial and business matters necessary to enable them to evaluate
the risks and the merits of an investment in the Notes. Before making an investment decision,
prospective purchasers of Notes should ensure that they understand the nature of the Notes and the
extent of their exposure to risks and that they consider carefully, in the light of their own financial
circumstances, financial condition and investment objectives, all the information set forth in the
Offering Circular (including "Risk Factors" on pages 38 to 97 thereof) and these Final Terms.
[Insert any specific additional risk factors (relating only to the tranche of Notes documented by these
Final Terms)]
PART A – CONTRACTUAL TERMS
Terms used herein shall be deemed to be defined as such for the purposes of the Terms and Conditions
set forth in the Offering Circular dated 24 January 2017 (the "Offering Circular") [as supplemented
by the supplement[s] to the Offering Circular listed in the Annex hereto]. This document constitutes
the Final Terms of the Notes described herein and must be read in conjunction with the Offering
Circular [as supplemented]. Full information on the Issuer[, the Guarantor] and the offer of the Notes is
only available on the basis of the combination of these Final Terms and the Offering Circular [as
supplemented]. The Offering Circular [and the supplement[s] to the Offering Circular] [is] [are]
available for viewing during normal business hours at the registered office of the Issuer and at the
[specified office of the Principal Paying Agent for the time being in London and copies may be
obtained from 2 King Edward Street, London EC1A 1HQ and in electronic form on the Luxembourg
Stock Exchange's website (www.bourse.lu)].
[The following alternative language applies if the first tranche of an issue of Notes which is being
increased was issued under the Original Base Prospectus/Offering Circular (as defined below).
Terms used herein shall be deemed to be defined as such for the purposes of the Terms and Conditions
(the "Conditions") set forth in the [Base Prospectus/Offering Circular] dated [15 September 2009] [22
June 2010] [22 June 2011] [24 May 2012] [9 January 2013] [15 November 2013] [12 November 2014]
[11 November 2015] [10 May 2016] (the "Original [Base Prospectus/Offering Circular]") which are
incorporated by reference in the Offering Circular dated 24 January 2017. This document constitutes
the Final Terms of the Notes described herein and must be read in conjunction with the Offering
Circular dated 24 January 2017 [as supplemented by the supplement[s] to the Offering Circular listed
in the Annex hereto], including the Conditions incorporated by reference in the Offering Circular. Full
information on the Issuer[, the Guarantor] and the offer of the Notes is only available on the basis of
the combination of these Final Terms and the Offering Circular (including those sections of the
Original [Base Prospectus/Offering Circular] incorporated by reference therein). The Original [Base
Prospectus/Offering Circular] and the Offering Circular [and the supplement[s] to the Offering
Circular] are available for viewing during normal business hours at the registered office of the Issuer
and at the [specified office of the Principal Paying Agent for the time being in London and copies may
be obtained from 2 King Edward Street, London EC1A 1HQ and in electronic form on the
Luxembourg Stock Exchange's website (www.bourse.lu)].]
References herein to numbered Conditions are to the "Terms and Conditions of the Notes" set forth in
the [Offering Circular] [Original [Base Prospectus/Offering Circular]] and words and expressions
defined in such terms and conditions shall bear the same meaning in these Final Terms, save as where
otherwise expressly provided. [References in the Offering Circular to "Instruments" and related
references (including, but not limited to, "Instrument Agents") shall, for the purposes of the issue of the
Notes, save where the context otherwise requires, be deemed to be references to "Securities" (including
"Security Agents").]
Prospective investors should note that the "Terms and Conditions of the Notes" set out in the [Offering
Circular] [Original [Base Prospectus/Offering Circular]] are governed by, and construed in accordance
1
Include for Notes issued by MLBV.
117
Form of Final Terms of the Notes
with, [English law] [the laws of the State of New York]1 [, and the Guarantee is governed by, and
construed in accordance with, the laws of the State of New York].
No person has been authorised to give any information or make any representation not contained in or
not consistent with these Final Terms, or any other information supplied in connection with the Notes
and, if given or made, such information or representation must not be relied upon as having been
authorised by the Issuer[, the Guarantor] or any Dealer.
By investing in the Notes each investor represents that:
(a)
Non-Reliance. It is acting for its own account, and it has made its own independent decisions
to invest in the Notes and as to whether the investment in the Notes is appropriate or proper
for it based upon its own judgement and upon advice from such advisers as it has deemed
necessary. It is not relying on any communication (written or oral) of the Issuer[, the
Guarantor] or any Dealer as investment advice or as a recommendation to invest in the Notes,
it being understood that information and explanations related to the "Terms and Conditions of
the Notes" shall not be considered to be investment advice or a recommendation to invest in
the Notes. No communication (written or oral) received from the Issuer[, the Guarantor] or
any Dealer shall be deemed to be an assurance or guarantee as to the expected results of the
investment in the Notes.
(b)
Assessment and Understanding. It is capable of assessing the merits of and understanding (on
its own behalf or through independent professional advice), and understands and accepts, the
terms and conditions and the risks of the investment in the Notes. It is also capable of
assuming, and assumes, the risks of the investment in the Notes.
(c)
Status of Parties. None of the Issuer[, the Guarantor] and any Dealer is acting as fiduciary
for or adviser to it in respect of the investment in the Notes.
[Include whichever of the following apply or specify as "Not Applicable" or delete any inapplicable
provision]
1.
Issuer:
[Bank of America Corporation] [Merrill Lynch
B.V.]
2.
Guarantor:
[Bank of America Corporation] [Not Applicable]2
3.
(a)
Series Number:
[]
(b)
Tranche Number:
[]
(If fungible with an existing Series, include details
of that Series, including the date on which the
Notes become fungible)
4.
Specified Currency or Currencies:
5.
Aggregate Nominal Amount:
6.
[]
(a)
[Series:]
[]
(b)
[Tranche:]
[]
Issue Price:
[] per cent. of the Aggregate Nominal Amount
[plus accrued interest from [insert date] (in the
case of fungible issues only, if applicable)]
1
Notes issued by BAC are governed by New York law. Notes issued by MLBV are governed by English law.
2
Insert "Not Applicable" if BAC is the Issuer.
118
Form of Final Terms of the Notes
7.
(a)
Specified Denominations:
[]
(MLBV
Notes
(including
MLBV
Notes
denominated in Sterling) in respect of which the
issue proceeds are to be accepted by MLBV in the
United Kingdom, or whose issue otherwise
constitutes a contravention of section 19 of the
Financial Services and Markets Act 2000 and
which have a maturity of less than one year must
have a redemption value of £100,000 (or its
equivalent in other Specified Currencies))
(N.B. BAC Notes must have an original maturity
date of not less than 365 days (one year))
(b)
Calculation Amount:
[]
(If only one Specified Denomination, insert the
Specified Denomination.
If more than one Specified Denomination, insert
the highest common factor. Note: There must be a
common factor in the case of two or more
Specified Denominations.)
8.
Trade Date:
[]
9.
Strike Date:
[]
10.
[(a)]
Issue Date [and Interest
Commencement Date]:
[]
[(b)
Interest Commencement Date
(if different from the Issue
Date):
[]]
11.
Maturity Date:
[] [Fixed Rate Note – specify date; Floating Rate
Note – Interest Payment Date falling in or nearest
to [specify month]] [the "Scheduled Maturity
Date", subject as provided in the Credit Linked
Note Conditions and paragraph(s) 23 and 33
below.] [N.B. BAC Notes must have an original
maturity date of not less than 365 days (one year)]
12.
Interest Basis:
[[] per cent. Fixed Rate]
[[LIBOR] [EURIBOR] +/- [] per cent. Floating
Rate]
[Range Accrual]
[Zero Coupon]
[Index Linked]
[Share Linked]
[GDR/ADR Linked]
[FX Linked]
[Commodity Linked]
[Fund Linked]
[Inflation Linked]
[Non-Interest bearing]
[Specify other]
[(further particulars specified below)]
13.
Redemption/Payment Basis:
[Redemption at par]
119
Form of Final Terms of the Notes
[Index Linked]
[Share Linked]
[GDR/ADR Linked]
[FX Linked]
[Commodity Linked]
[Fund Linked]
[Inflation Linked]
[Credit Linked]
[Partly Paid]
[Instalment]
[Specify other]
[(further particulars specified below)]
14.
Change
of
Interest
Basis
Redemption/Payment Basis:
or
[Applicable] [Not Applicable]
(Specify details of any provision for change of
Notes into another Interest Basis or
Redemption/Payment Basis)
15.
Put/Call Options:
[Investor Put (further particulars specified below)]
[Issuer Call (further particulars specified below)]
[Not Applicable]
16.
(a)
Status of the Notes:
[Senior]
(b)
Status of the Guarantee:
[Senior] [Not Applicable]1
PROVISIONS RELATING TO INTEREST (IF ANY) PAYABLE
17.
Fixed Rate Notes:
[Applicable] [Not Applicable]
(a)
Rate(s) of Interest:
[●] per cent. per annum [payable [annually] [semiannually] [quarterly] in arrear]
(b)
Interest Payment Date(s):
[[●] in each year up to and including the Maturity
Date] [specify other]
[subject to the Credit Linked Note Conditions]
(Include if Tranched Portfolio CLNs)
(N.B. This will need to be amended in the case of
long or short coupons)
[Adjusted] [Unadjusted]
(If the Fixed Interest Period(s) are adjusted,
specify the relevant Business Day Convention at
paragraph 17(c) below.
If Fixed Interest
Period(s) are not adjusted, no Business Day
Convention should be specified)
(c)
Business Day Convention:
[Following Business Day Convention] [Modified
Following Business Day Convention] [Preceding
Business Day Convention] [specify other] [Not
Applicable]2
1
Insert "Not Applicable" if BAC is the Issuer.
2
Insert "Not Applicable" for Business Day Convention and Additional Business Centre(s) if Interest Payment Dates are Unadjusted.
120
Form of Final Terms of the Notes
(d)
Additional Business Centre(s):
[●] [Not Applicable]
(e)
Fixed Coupon Amount(s):
[[●] per Calculation Amount] [Not Applicable]
(f)
Broken Amount(s):
[[●] per Calculation Amount payable on the
Interest Payment Date falling on [●]] [Not
Applicable]
(Insert particulars of any initial or final broken
interest amounts which do not correspond with the
Fixed Coupon Amount(s))
(g)
Day Count Fraction:
[Actual/Actual (ICMA)]
[Actual/Actual (ISDA)] [Actual/Actual]
[Actual/365 (Fixed)]
[Actual/365 (Sterling)]
[Actual/360]
[30/360 (ICMA)]
[30/360] [360/360] [Bond Basis]
[30E/360] [Eurobond Basis]
[30E/360 (ISDA)]
[Specify other]
(N.B. Actual/Actual (ICMA) is normally only
appropriate for Fixed Rate Notes denominated in
euros)
(h)
Determination Date(s):
[[●] in each year] [Not Applicable]
(Insert regular interest payment dates, ignoring
issue date or maturity date in the case of a long or
short first or last coupon (N.B. This will need to be
amended in the case of regular interest payment
dates which are not of equal duration))
(N.B. Only relevant where Day Count Fraction is
Actual/Actual (ICMA))
(i)
18.
Other terms relating to the
method of calculating interest
for Fixed Rate Notes:
[None] [Give details]
Floating Rate Notes:
[Applicable] [Not Applicable]
(a)
[●]
[Adjusted] [Unadjusted]
Specified Period(s)/Specified
Interest Payment Dates:
(If the Interest Period(s) are adjusted, specify the
relevant Business Day Convention at paragraph
18(b) below.
If Interest Period(s) are not
adjusted, no Business Day Convention should be
specified)
(b)
Business Day Convention:
[Floating Rate Convention] [Following Business
Day Convention] [Modified Following Business
Day Convention] [Preceding Business Day
Convention] [specify other] [Not Applicable]
(c)
Additional Business Centre(s):
[●] [Not Applicable]
(d)
Manner in which the Rate of
Interest and Interest Amount
[Screen
121
Rate
Determination]
[ISDA
Form of Final Terms of the Notes
is to be determined:
Determination] [Range Accrual] [specify other]
[If Range Accrual insert following language:
The Rate of Interest for each Interest Period shall
be determined by the Calculation Agent in
accordance with the following formula:
Coupon x (n/N)
Where:
"Coupon" means [●].
"n" means the total number of calendar days in the
relevant Interest Period on which the Reference
Rate (as defined below) is within the Range.
"N" means the actual number of calendar days in
the relevant Interest Period.
"Range" means for each Interest Period in the
period [from (and including) [●] to (but excluding)
[●]], equal to or greater than zero but less than or
equal to [●] per cent.
"Reference Rate" means, in respect of a calendar
day, the rate for deposits in [●] for a period of [●]
months which appears on [insert page reference]
(or such successor page or service as may in the
determination of the [Calculation Agent] replace
such page or service) (the "Screen Page") as of
[insert time] on such calendar day or if the Screen
Page is not available or the relevant rate is not
quoted and it is impossible or otherwise
impracticable to obtain the relevant rate, the rate
determined by the Calculation Agent in its sole
discretion from such source(s) and at such time as
it may select,
provided that if a calendar day is not a Business
Day the Reference Rate for such calendar day shall
be the Reference Rate for the immediately
preceding Business Day,
provided further that for each calendar day in an
Interest Period falling after the seventh Business
Day prior to the [end of such Interest Period], the
Reference Rate shall be the Reference Rate on
such seventh Business Day.]
(e)
Party
responsible
for
calculating the Rate of Interest
and Interest Amount (if not
the Principal Paying Agent):
[●] [Calculation Agent] [Not Applicable]
(f)
Screen Rate Determination:
[Applicable] [Not Applicable]
-
[●]
Reference Rate:
(Either LIBOR, EURIBOR or other, although
additional information is required if other –
122
Form of Final Terms of the Notes
including fallback provisions in the applicable
Agency Agreement)
-
-
Interest Determination
Date(s):
[●]
Relevant Screen Page:
[●]
(Second London Business Day prior to the start of
each Interest Period if LIBOR (other than Sterling
or euro LIBOR), first day of each Interest Period if
Sterling LIBOR and the second day on which the
TARGET2 System is open prior to the start of each
Interest Period if EURIBOR or euro LIBOR)
(In the case of EURIBOR, if not Reuters
EURIBOR01 ensure it is a page which shows a
composite rate or amend the fallback provisions
appropriately)
-
Rate Multiplier:
[Applicable] [Not Applicable]
(Specify formula)
(g)
19.
ISDA Determination:
[Applicable] [Not Applicable]
-
Floating Rate Option:
[●]
-
Designated Maturity:
[●]
-
Reset Date:
[●]
(h)
Margin(s):
[[+/-] [●] per cent. per annum] [Not Applicable]
(i)
Minimum Interest Rate:
[[●] per cent. per annum] [Not Applicable]
(j)
Maximum Interest Rate:
[[●] per cent. per annum] [Not Applicable]
(k)
Day Count Fraction:
[Actual/Actual (ICMA)]
[Actual/Actual (ISDA)]
[Actual/Actual]
[Actual/365 (Fixed)]
[Actual/365 (Sterling)]
[Actual/360]
[30/360 (ICMA)]
[30/360]
[360/360] [Bond Basis]
[30E/360]
[Eurobond Basis]
[30E/360 (ISDA)]
[Specify other]
(See Condition 5 for alternatives)
(l)
Fall back provisions, rounding
provisions and any other terms
relating to the method of
calculating
interest
on
Floating Rate Notes, if
different from those set out in
the Terms and Conditions:
[Not Applicable] [Give details]
Zero Coupon Notes:
[Applicable] [Not Applicable]
123
Form of Final Terms of the Notes
20.
(a)
Accrual Yield:
[] per cent. per annum
(b)
Reference Price:
[]
(c)
Any other formula/basis of
determining amount payable:
[]
(d)
Day Count Fraction in relation
to Early Redemption Amounts
and late payment:
[Conditions 7(G)(c) and 7(N) apply] [specify
other] (Consider applicable day count fraction if
not U.S.$ denominated)
Interest linked to one or
Reference Item(s) provisions:
more
[Applicable] [Not Applicable]
(a)
Reference Item(s):
[As specified in paragraph[s] [26] [27] [28] [29]
[30] [31] [32]] [specify other]
(b)
Provisions for determining
Rate of Interest or Interest
Amount where calculated by
reference to an Index and/or a
Share and/or a GDR/ADR
and/or a Currency Price and/or
a Commodity and/or a
Commodity Index and/or a
Fund and/or an Inflation
Index:
[]
(c)
Provisions for determining
Rate of Interest or Interest
Amount where calculation by
reference to an Index and/or a
Share and/or a GDR/ADR
and/or a Currency Price and/or
a Commodity and/or a
Commodity Index and/or a
Fund and/or an Inflation Index
is impossible or impracticable
or otherwise disrupted:
[As specified in paragraph[s] [26] [27] [28] [29]
[30] [31] [32]] [specify other]
(d)
Specified Period(s)/Specified
Interest Payment Dates:
[]
[Adjusted] [Unadjusted]
(If the Interest Period(s) are adjusted, specify the
relevant Business Day Convention at paragraph
20(e) below. If Interest Period(s) are not adjusted,
no Business Day Convention should be specified)
(e)
Business Day Convention:
[Floating Rate Convention] [Following Business
Day Convention] [Modified Following Business
Day Convention] [Preceding Business Day
Convention] [specify other]
(f)
Additional Business Centre(s):
[] [Not Applicable]
(g)
Minimum Interest Rate:
[[] per cent. per annum] [Not Applicable]
(h)
Maximum Interest Rate:
[[] per cent. per annum] [Not Applicable]
(i)
Day Count Fraction:
[]
124
Form of Final Terms of the Notes
PROVISIONS RELATING TO REDEMPTION
21.
Issuer Call:
[Applicable] [Not Applicable]
(a)
Optional Redemption Date(s):
[]
(b)
Optional
Redemption
Amount(s) of each Note and
method, if any, of calculation
of such amount(s):
[[] per Calculation Amount] [specify provisions
for calculation of Optional Redemption Amount]
(c)
If redeemable in part:
(d)
22.
23.
24.
(i)
Minimum
Redemption Amount:
[] [Not Applicable]
(ii)
Maximum
Redemption Amount:
[] [Not Applicable]
Notice period (if other than as
set out in the Conditions):
[] [Not Applicable]
Investor Put:
[Applicable] [Not Applicable]
(a)
Optional Redemption Date(s):
[]
(b)
Optional
Redemption
Amount(s) of each Note and
method, if any, of calculation
of such amount(s):
[[] per Calculation Amount] [specify provisions
for calculation of Optional Redemption Amount]
(c)
Notice period (if other than as
set out in the Conditions):
[] [Not Applicable]
Automatic Early Redemption:
[Applicable] [Not Applicable]
(a)
Automatic Early Redemption
Event:
[]
(b)
Automatic Early Redemption
Amount:
[] per Calculation Amount
(c)
Automatic Early Redemption
Date:
[]
Final Redemption Amount of each
Note:
[[●] per Calculation Amount]
[As specified in paragraph 24(b) below]
In cases where the Final Redemption Amount is
Index Linked, Share Linked, GDR/ADR Linked,
FX Linked, Commodity Linked, Fund Linked,
Inflation Linked, Credit Linked or other variable
linked:
[As specified at paragraph 33(w)] (Include if
Tranched Portfolio CLNs)
(a)
Reference Item(s):
[As specified in paragraph[s] [26] [27] [28] [29]
[30] [31] [32] below] [specify other]
125
Form of Final Terms of the Notes
(b)
Provisions for determining
Final Redemption Amount
where calculated by reference
to an Index and/or a Share
and/or a GDR/ADR and/or a
Currency Price and/or a
Commodity
and/or
a
Commodity Index and/or a
Fund and/or an Inflation Index
and/or a Reference Entity
and/or any other variable:
[Specify provisions for calculation of Final
Redemption Amount]
Provisions for determining
Final Redemption Amount
where calculation by reference
to an Index and/or a Share
and/or a GDR/ADR and/or a
Currency Price and/or a
Commodity
and/or
a
Commodity Index and/or a
Fund and/or an Inflation Index
and/or a Reference Entity
and/or other variable is
impossible or impracticable or
otherwise disrupted:
[See paragraph[s] [26] [27] [28] [29] [30] [31] [32]
below] [specify other]
Early Redemption Amount(s) of each
Note payable on redemption for
taxation reasons or on an event of
default or on an illegality or following
a Currency Substitution Event (or
otherwise in accordance with the terms
and conditions of the Notes), and/or the
method of calculating the same (if
required or if different from that set out
in Condition 7(G)):
[[●] per Calculation Amount] [Market Value less
Associated Costs (no floor)] [Market Value less
Associated Costs (90 per cent. floor)]
(c)
25.
[As specified in paragraph 19 of the Credit Linked
Note Conditions] (Include if Tranched Portfolio
CLNs)
(N.B. "Market Value less Associated Costs (90 per
cent. floor)" should be specified for Notes issued
by BAC which fall under Condition 7(G)(b) and
are intended to be treated as indebtedness for U.S.
federal income tax purposes)
(N.B. In the case of Index Linked, Share Linked,
GDR/ADR Linked, FX Linked, Commodity Linked,
Fund Linked, Inflation Linked and Credit Linked
Notes, consider deducting the cost to the Issuer
and/or its affiliates of unwinding or adjusting any
underlying or related funding and/or hedging
arrangements in respect of the Notes)
PROVISIONS RELATING TO TYPE OF NOTES
26.
Index Linked Conditions
[Applicable] [Not Applicable]
(a)
[The index] [Each of the indices] set out under the
heading "Index" in "Specific Information relating
to the Reference Item(s)" below ([the "Index"]
[each, an "Index" and together the "Indices" or
"Basket of Indices"])
Index/Basket of Indices:
SPECIFIC INFORMATION RELATING TO THE REFERENCE ITEM(S)
The terms "Index", "Bloomberg Code", "Index Sponsor", "Type of Index", "Exchange", "Related
Exchange", "Index Currency", ["Weighting"] and ["Initial Level"] (insert additional columns as
applicable) applicable to [an] [the] Index shall have the corresponding meanings set forth against such
Index in the table below.
126
Form of Final Terms of the Notes
Index
Bloomberg
Code
Index
Sponsor
Type
of
Index
Exchange
Related
Exchange
Index
Currency
[Weighting]1
[Initial
Level]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
(b)
Index Performance
[] [As specified in the Index Linked Conditions]
[Not Applicable]
(c)
Barrier Event (intraday):
[Applicable] [Not Applicable]
Barrier Event Determination
Day:
[As specified in the Index Linked Conditions]
Barrier Event (closing):
[Applicable] [Not Applicable]
Barrier Event Determination
Day:
[Valuation Date]
(d)
[In respect of [the] [each] Index, each Scheduled
Trading Day for such Index during [the] [each]
Observation Period that is not a Disrupted Day for
such Index]
[Each Common Scheduled Trading Day that is not
a Disrupted Day for any Index in the Basket of
Indices during [the] [each] Observation Period]
1
(e)
Barrier Level:
[●] [Not Applicable]
(f)
Averaging:
[Applicable] [Not Applicable]
(i)
Averaging Date(s):
[]
(ii)
Omission:
[Applicable] [Not Applicable]
(iii)
Postponement:
[Applicable] [Not Applicable]
(iv)
Modified
Postponement:
[Applicable] [Not Applicable]
(g)
Valuation Date(s):
[] [Not Applicable]
(h)
Valuation Time:
[As specified in the Index Linked Conditions]
[specify other]
(i)
Observation Date(s):
[] [Not Applicable]
(j)
Observation Period:
[Applicable: [Extension] [No Extension]] [Not
Applicable]
(i)
Observation
Start Date:
Period
[[●] ([Including] [Excluding])] [Not Applicable]
(ii)
Observation
End Date:
Period
[[●] ([Including] [Excluding])] [Not Applicable]
May only be applicable in relation to Index Linked Notes relating to a Basket of Indices.
127
Form of Final Terms of the Notes
(k)
Common Scheduled Trading
Days:
[Applicable. [Common] [Individual] Disrupted
Days will apply] (N.B. If Common Scheduled
Trading Days are applicable, either Common or
Individual Disrupted Days must be specified.) [Not
Applicable]
(N.B. May only be applicable in relation to Index
Linked Notes relating to a Basket)
(l)
[If the Valuation Date, an Averaging Date or an
Observation Date, as the case may be, is a
Disrupted Day, the relevant level or price will be
calculated [insert calculation method]]
Disrupted Day:
[As specified in the Index Linked Conditions]
(m)
Additional Disruption Events:
The following Additional Disruption Events apply
to the Notes:
[Change in Law]
[Hedging Disruption]
[Increased Cost of Hedging]
(n)
27.
Other terms
conditions:
or
special
[] [Not Applicable]
Share Linked Conditions:
[Applicable] [Not Applicable]
(a)
[The] [Each of the] [ordinary shares] [depositary
receipts] of the relevant Share Company set out
under the heading "Share Company" in "Specific
Information relating to the Reference Item(s)"
below (each a "Share" and together, the "Shares"
[or the "Basket of Shares"])
Share(s)/Basket of Shares:
SPECIFIC INFORMATION RELATING TO THE REFERENCE ITEM(S)
The terms "Share Company", "ISIN of Share", "Bloomberg Code", "Exchange", "Related
Exchange", "Local Jurisdiction" [, "Weighting"] and ["Initial Price"] (insert additional columns as
appropriate) applicable to a Share shall have the corresponding meanings set forth against the relevant
Share Company in the table below.
Share
Company
ISIN
of
Share
Bloomberg
Code
Exchange
Related
Exchange
Local
Jurisdictio
n
[Weighting]1
[Initial
Price]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
(b)
Share Performance:
[●] [As specified in the Share Linked Conditions]
(c)
Barrier Event (intraday):
[Applicable] [Not Applicable]
Barrier Event Determination
Day:
[As specified in the Share Linked Conditions]
Barrier Event (closing):
[Applicable] [Not Applicable]
(d)
1
May only be applicable in relation to Share Linked Notes relating to a Basket.
128
Form of Final Terms of the Notes
Barrier Event Determination
Day:
[Valuation Date]
[In respect of [the] [each] Share, each Scheduled
Trading Day for such Share during each
Observation Period that is not a Disrupted Day for
such Share]
[Each Common Scheduled Trading Day that is not
a Disrupted Day for any Share in the Basket of
Shares during [the] [each] Observation Period]
(e)
Barrier Level:
[●] [Not Applicable]
(f)
Averaging:
[Applicable] [Not Applicable]
(i)
Averaging Dates:
[]
(ii)
Omission:
[Applicable] [Not Applicable]
(iii)
Postponement:
[Applicable] [Not Applicable]
(iv)
Modified
Postponement:
[Applicable] [Not Applicable]
(g)
Valuation Date(s):
[] [Not Applicable]
(h)
Valuation Time:
[As specified in the Share Linked Conditions]
[specify other]
(i)
Observation Date(s):
[]
(j)
Observation Period:
[Applicable: [Extension] [No Extension]] [Not
Applicable]
(k)
(i)
Observation
Start Date:
Period
[[●] ([Including] [Excluding])] [Not Applicable]
(ii)
Observation
End Date:
Period
[[●] ([Including] [Excluding])] [Not Applicable]
Common Scheduled Trading
Days:
[Applicable. [Common] [Individual] Disrupted
Days will apply] (N.B. If Common Scheduled
Trading Days are applicable, either Common or
Individual Disrupted Days must be specified) [Not
Applicable]
(N.B. May only be applicable in relation to Share
Linked Notes relating to a Basket)
(l)
Disrupted Day:
[If the Valuation Date, an Averaging Date or an
Observation Date, as the case may be, is a
Disrupted Day, the relevant price will be
calculated [insert calculation method]]
[As specified in the Share Linked Conditions]]
(m)
Tender Offer:
[Applicable] [Not Applicable]
(n)
Announcement Event:
[Applicable] [Not Applicable]
129
Form of Final Terms of the Notes
(o)
Share Substitution:
[Applicable. Share Substitution Criteria are [insert
details] [as specified in the Share Linked
Conditions]] [Not Applicable]
(p)
Local Tax Adjustment:
[Not Applicable]
[Applicable. Local Jurisdiction is set out in
"Specific Information relating to the Reference
Item(s)" above. [Where Local Jurisdiction is
specified to be "United States" then this shall mean
the United States' federal and/or state and/or local
taxes and/or any political subdivision thereof]]
(q)
Additional Disruption Events:
The following Additional Disruption Events apply
to the Notes:
[Change in Law]
[Hedging Disruption]
[Increased Cost of Hedging]
[Increased Cost of Stock Borrow]
[Initial Stock Loan Rate: [●]]
[Insolvency Filing]
[Loss of Stock Borrow]
[Maximum Stock Loan Rate: [●]]
(r)
28.
Other terms
conditions:
or
special
GDR/ADR Linked Conditions:
[] [Not Applicable]
[Applicable] [Not Applicable]
(For GDR/ADR Linked Notes complete sections
for Share Linked Notes (paragraph 27 above)
(completed and amended as appropriate) and this
section)
29.
(a)
Partial Lookthrough:
[Applicable] [Not Applicable]
(b)
Full Lookthrough:
[Applicable] [Not Applicable]
FX Linked Conditions:
[Applicable] [Not Applicable]
(a)
Base
Currency:
[]
(b)
Currency Price:
(c)
FX
Market
Event(s):
Currency/Subject
[As specified in the FX Linked Conditions]
[specify other]
Disruption
(N.B. Only complete if Inconvertibility Event/Price
Materiality
Event/Non-Transferability
Event
and/or other disruption events should be included
as FX Market Disruption Events)
(i)
Inconvertibility
Event:
[Applicable] [Not Applicable]
(ii)
Price
Event:
[Applicable. Price Materiality Percentage: [●]]
[Not Applicable]
(iii)
Non-Transferability
Event:
[Applicable] [Not Applicable]
(iv)
Other:
[]
Materiality
130
Form of Final Terms of the Notes
(d)
Disruption Fallbacks:
(Specify the applicable Disruption Fallbacks in the
order that they will apply)
[Calculation Agent Determination]
[Currency-Reference Dealers
Reference Dealers: [four] [specify other]
[EM Fallback Valuation Postponement]
[EM Valuation Postponement]
[Fallback Reference Price Fallback Reference
Price: [●]]
[Other Published Sources]
[Postponement Maximum Days of Postponement:
[●]]
[Other]
(e)
FX Price Source(s):
[]
(f)
Specified Financial Centre(s):
[]
(g)
Averaging:
[Applicable. The Averaging Dates are [●]] [Not
Applicable]
(h)
Valuation Date(s):
[]
(i)
Valuation Time:
[]
(j)
Weighting:
[Not Applicable] [The weighting to be applied to
each item comprising the Basket to ascertain the
Currency Price is [●]] (N.B. Only applicable in
relation to FX Linked Notes relating to a Basket)
(k)
EM Currency Provisions:
[Applicable] [Not Applicable]
(i)
Unscheduled
Holiday:
[Applicable. Maximum Days of Deferral: [●]]
[Not Applicable]
(ii)
EM
Valuation
Postponement:
[Applicable. Maximum Days of EM Valuation
Postponement: [●]] [Not Applicable]
(iii)
EM
Fallback
Valuation
Postponement:
[Applicable. Fallback Maximum Period of
Postponement: [As specified in the FX Linked
Conditions] [specify other] [Not Applicable]]
(iv)
Cumulative Events:
[Applicable. Maximum Days of Cumulative
Postponement: [As specified in the FX Linked
Conditions] [specify other] [Not Applicable]
(l)
Successor Currency:
[Applicable] [Not Applicable]
[Issue Date/other]
(m)
Rebasing:
[Applicable] [Not Applicable]
(n)
Additional Disruption Events:
[Not Applicable]
[The following Additional Disruption Events
apply to the Notes:
[Change in Law]
[Hedging Disruption]
[Increased Cost of Hedging]]
131
Form of Final Terms of the Notes
(o)
30.
Other terms
conditions:
or
special
[] [ Not Applicable]
Commodity Linked Conditions:
[Applicable] [Not Applicable]
(a)
Commodity/Basket
of
Commodities/Commodity
Index/Basket of Commodity
Indices:
[]
(b)
Commodity Reference Price:
[]
(c)
Price Source:
[]
(d)
Exchange:
[]
(e)
Delivery Date:
[]
(f)
Pricing Date:
[]
(g)
Common Pricing (Commodity
Linked Condition 3(a):
[Applicable] [Not Applicable] (N.B.
Only
applicable in relation to Commodity Linked Notes
relating to a Basket of Commodities or a Basket of
Commodity Indices)
(h)
Additional
Commodity
Market Disruption Events:
[Specify any additional
Disruption Events]
(i)
Disruption Fallback(s):
[As specified in the Commodity
Conditions]/[specify other]
Commodity Market
Linked
[Fallback Reference Price: alternate Commodity
Reference Price – [●]]
[Commodity Cut-Off Date: [●]]
[Commodity Index Cut-Off Date: [●]]
(j)
Additional Disruption Events
in respect of a Commodity
Index:
[Not Applicable]
[The following Additional Disruption Events
apply to the Notes in respect of a Commodity
Index:
[Change in Law]
[Hedging Disruption]
[Increased Cost of Hedging]]
(k)
Commodity Business Day:
[●] [If Commodity Index linked, the Commodity
Business Day should mirror the definition of
Business Day as used in the Commodity Index]
(l)
Weighting:
[Not Applicable] [The weighting to be applied to
each item comprising the Basket is [●]] (N.B. Only
applicable in relation to Commodity Linked Notes
relating to a Basket)
(m)
Specified Price:
[high price]
[low price]
[average of the high price and the low price]
[closing price]
[opening price]
[bid price]
132
Form of Final Terms of the Notes
[asked price]
[average of the bid price and the asked price]
[settlement price]
[official settlement price]
[official price]
[morning fixing]
[afternoon fixing]
[spot price]
[specify other]
(n)
31.
Other terms
conditions:
or
special
[] [Not Applicable]
Fund Linked Conditions:
[Applicable] [Not Applicable]
(a)
[]
Fund/Basket of Funds:
[[The [●] Fund is an ETF]
[Exchange for each Fund Share: [●]]
[Related Exchange for each Fund Share: [●] [All
Exchanges]]
[Underlying Index: [●]]
(N.B. Include for Exchange Traded Funds (ETFs))
(b)
Fund Interest(s):
[]
(c)
Fund Performance:
[●] [As specified in the Fund Linked Conditions]
(d)
Weighting:
[Not Applicable] [The weighting to be applied to
each Fund comprising the Basket of Funds is [●]]
(N.B. only applicable in relation to Fund Linked
Notes relating to a Basket of Funds)
(e)
Barrier Event (intraday):
[Applicable] [Not Applicable]
Barrier Event Determination
Day:
[As specified in the Fund Linked Conditions]
Barrier Event (closing):
[Applicable] [Not Applicable]
Barrier Event Determination
Day:
[Valuation Date]
(f)
[In respect of [the] [each] Fund Share, each
Scheduled Trading Day for such Fund Share
during an Observation Period that is not a
Disrupted Day for such Fund Share]
[Each Common Scheduled Trading Day that is not
a Disrupted Day for any Fund in the Basket of
Funds during [the] [each] Observation Period]
(g)
Barrier Level:
[] [Not Applicable]
(h)
Averaging:
[Applicable] [Not Applicable]
(i)
[insert dates]
Averaging Dates:
133
Form of Final Terms of the Notes
(ii)
Omission:
[Applicable] [Not Applicable] (N.B. May only be
applicable in relation to Exchange Traded Funds
(ETFs))
(iii)
Postponement:
[Applicable] [Not Applicable] (N.B. May only be
applicable in relation to Exchange Traded Funds
(ETFs))
(iv)
Modified
Postponement:
[Applicable] [Not Applicable] (N.B. May only be
applicable in relation to Exchange Traded Funds
(ETFs))
(i)
Valuation Date(s):
[]
(j)
Valuation Time:
[As specified in the Fund Linked Conditions]
[specify other] (N.B. May only be applicable in
relation to Exchange Traded Funds (ETFs))
(k)
Observation Date(s):
[]
(l)
Observation Period:
[Applicable: [Extension] [No Extension]] [Not
Applicable]
(m)
(i)
Observation
Start Date:
Period
[[] ([Including] [Excluding])] [Not Applicable]
(ii)
Observation
End Date:
Period
[[] ([Including] [Excluding])] [Not Applicable]
Common Scheduled Trading
Days:
[Applicable. [Common] [Individual] Disrupted
Days will apply] (N.B. If Common Scheduled
Trading Days are applicable, either Common or
Individual Disrupted Days must be specified) [Not
Applicable]
(N.B. May only be applicable in relation to Fund
Linked Notes relating to a Basket of Funds)
(n)
Additional Disruption Events:
[Not Applicable]
[The following Additional Disruption Events
apply to the Notes:
[Change in Law]
[Hedging Disruption]
[Increased Cost of Hedging]]
(o)
32.
Other terms
conditions:
or
special
[Merger Event: Merger Date on or before [the
Valuation Date] [other]] [Not Applicable]
Inflation Linked Conditions:
[Applicable] [Not Applicable]
(a)
Inflation Index/Basket of
Inflation
Indices/Inflation
Index Sponsor(s):
[]
Related Bond:
[Applicable] [Not Applicable]
(b)
Inflation Index Sponsor: []
The Related Bond is: [] [Fallback Bond]
[Fallback Bond: [Applicable] [Not Applicable]]
The End Date is: []
134
Form of Final Terms of the Notes
33.
(c)
Determination Date(s):
[]
(d)
Cut-Off Date:
[]
(e)
Other terms
conditions:
or
special
Credit Linked Notes:
[] [Not Applicable]
[Applicable] [Not Applicable]
[The provisions of "Annex 9A – Additional Terms
and Conditions for Credit Linked Notes" shall
apply]
Type of Credit Linked Notes: [Single Name
CLNs] [Nth-to-Default CLNs] [Linear Basket
CLNs] [Tranched Portfolio CLNs]
(a)
Trade Date:
[]
(b)
Credit Observation Start Date:
[]
(c)
Scheduled
Date:
[]
(d)
CLN Maturity Date:
(e)
Accrual of Interest
Credit Event:
Maturity
Notice
[15 Business Days] [other]
upon
[Applicable] [Not Applicable]
[Not Applicable – Credit Linked Note Condition
19 will apply] (Include if Tranched Portfolio
CLNs)
(f)
Calculation Agent responsible
for making calculations and
determinations in respect of
the Notes:
[]
(g)
Reference Entity(ies):
[]
Transaction Type: []
Financial Reference Entity Terms: [Applicable]
[Not Applicable]
[Each Reference Entity contained in the Index and
listed in the Relevant Annex (for which see
below)]
(Include if the reference index is iTraxx®)
[As set out in the Relevant Annex (for which see
below)] (include if Tranched Portfolio CLNs or
Linear Basket CLNs which are not referencing
iTraxx®)
(h)
Reference Obligation(s):
[Standard Reference
Obligation:
[Applicable] [Not Applicable]
[Seniority Level:
[Senior Level] [Subordinated Level]]
135
Form of Final Terms of the Notes
[As specified in the Relevant Annex] (include if
Tranched Portfolio CLNs)
(Include details of Reference Obligation(s) if
Standard Reference Obligation does not apply)
[The obligation[s] identified
as follows:
[]
Primary Obligor:
[]
Guarantor:
[]
Maturity:
[]
Coupon:
[]
CUSIP/ISIN:
[]]
(i)
Calculation Agent
Determination:
[Applicable] [Not Applicable]
(j)
Credit Event Backstop Date:
[Not] [Subject to adjustment for non-Business
Days in accordance with Business Day
Convention]
(k)
All Guarantees:
[As set forth in the Physical Settlement Matrix for
the
Transaction
Type]/[Applicable]
[Not
Applicable]
[In respect of each Reference Entity, as set out in
the Physical Settlement Matrix for the relevant
Transaction Type] (include if Tranched Portfolio
CLNs)
(l)
Credit Events:
[As set forth in the Physical Settlement Matrix for
the Transaction Type]/[Bankruptcy]
[Failure to Pay]
Payment Requirement: []
[Grace Period
Applicable]
Extension
[Applicable]
[Not
[If Applicable:
Grace Period: []
[Obligation Default]
[Obligation Acceleration]
[Repudiation/Moratorium]
[Repudiation/Moratorium Extension Condition –
delivery of Notice of Publicly Available
Information] [Applicable] [Not Applicable]]
[Restructuring
Mod R: [Applicable] [Not Applicable]
136
Form of Final Terms of the Notes
Mod Mod R: [Applicable] [Not Applicable]]
[Governmental Intervention]
Default Requirement: []
-
Provisions relating to Credit Event Notice
after M(M)R Restructuring Credit Event:
Credit Linked Note Condition 11
[Applicable] [Not Applicable]
-
Provisions relating to Multiple Holder
Obligation: Credit Linked Note Condition
12 [Applicable] [Not Applicable]
[In respect of each Reference Entity, as set out in
the Physical Settlement Matrix for the relevant
Transaction Type] (include if Tranched Portfolio
CLNs)
[other]
(m)
Notice of Publicly Available
Information:
[Applicable] [Not Applicable]
[If Applicable:
Public Source(s): []]
Specified Number: []]
Notice Delivery Period: [[] Business Days
(n)
Obligation(s):
Obligation Category:
[As set out in the Physical Settlement Matrix for
the Transaction Type] [Payment]
[select one only]:
[Payment]
[Borrowed Money]
[Reference Obligation Only]
[Bond]
[Loan]
[Bond or Loan]
[In respect of each Reference Entity, as set out in
the Physical Settlement Matrix for the relevant
Transaction Type] (include if Tranched Portfolio
CLNs)
Obligation Characteristics:
[As set out in the Physical Settlement Matrix for
the Transaction Type]
[select all of which apply]:
[Not Subordinated]
[Specified Currency: [specify currency]]
137
Form of Final Terms of the Notes
[Standard Specified Currency]
[Not Sovereign Lender]
[Not Domestic Currency]
[Domestic Currency means: [specify currency]]
[Not Domestic Law]
[Domestic Law means: [specify law]]
[Listed]
[Not Domestic Issuance]
[In respect of each Reference Entity, as set out in
the Physical Settlement Matrix for the relevant
Transaction Type] (include if Tranched Portfolio
CLNs)
Additional Obligation(s):
[]
(o)
Excluded Obligation(s):
[]
(p)
Redemption
following
Merger Event:
a
Credit Linked Note Condition 10 [Applicable]
[Not Applicable]
(If Applicable)
[Merger Event Redemption Amount: []]
[Merger Event Redemption Date: []]
(q)
Unwind Costs:
[Standard Unwind Costs] [specify other] [Not
Applicable]
(r)
Provisions
relating
to
Monoline Insurer as Reference
Entity:
Credit Linked Note Condition 14 [Applicable]
[Not Applicable]
(s)
Provisions relating to LPN
Reference Entities:
Credit Linked Note Condition 15 [Applicable]
[Not Applicable]
(t)
Settlement Method:
[Cash Settlement] [Physical Settlement] [Auction
Settlement]
(u)
Fallback Settlement Method:
[Cash Settlement] [Physical Settlement]
Terms relating
Settlement
(v)
Credit Event
Amount:
to
Cash
Redemption
[[] per Calculation Amount] [As set forth in the
Credit Linked Note Conditions]
[Not Applicable] (include if Tranched Portfolio
CLNs)
(w)
Credit
Date:
Event
Redemption
[] Business Days
[Not Applicable] (include if Tranched Portfolio
138
Form of Final Terms of the Notes
CLNs)
(x)
Valuation Date:
[Single Valuation Date:
[] Business Days]
[Multiple Valuation Dates:
[  ] Business Days; and each [  ] Business Days
thereafter
Number of Valuation Dates: []]
[Single Valuation Date, provided that the
"Valuation Date" in respect of any Reference
Obligation of a Reference Entity, shall be any
Business Day falling on or before the 365th
calendar day after the Event Determination Date or
(following any Auction Cancellation Date or No
Auction Announcement Date) after such Auction
Cancellation Date or No Auction Announcement
Date (as selected by the Calculation Agent in its
sole discretion)] (include if Tranched Portfolio
CLNs)
(y)
Valuation Time:
[] [As per the Credit Linked Note Conditions]
(z)
Quotation Method:
[Bid] [Offer] [Mid-market] [As per the Credit
Linked Note Conditions]
(aa)
Quotation Amount:
[] [Representative Amount]
[In respect of each obligation, an amount
determined by the Calculation Agent in its sole
and absolute discretion] (include if Tranched
Portfolio CLNs)
(bb)
Minimum Quotation Amount:
[] [As per the Credit Linked Note Conditions]
(cc)
Quotation Dealers:
[] [As per the Credit Linked Note Conditions]
(dd)
Quotations:
[Include Accrued Interest] [Exclude Accrued
Interest]
(ee)
Valuation Method:
[Market] [Highest]
[Average Market] [Highest] [Average Highest]
[Blended Market] [Blended Highest]
[Average Blended Market] [Average Blended
Highest]
(ff)
Provisions
relating
to
Deliverable
Obligations
Portfolio Valuation:
Credit Linked Note Condition 16 [Applicable]
[Not Applicable]
[If Applicable:
Benchmark Obligation:
[Reference Obligation]
[Other]
139
Form of Final Terms of the Notes
(N.B. Deliverable Obligation Category and
Deliverable Obligation Characteristics should
also be completed if Credit Linked Note Condition
16 applies)]
Terms relating to Auction Settlement
(gg)
Auction Settlement Amount:
[]
(hh)
Auction Settlement Date:
[Five Business Days] [specify other]
(ii)
Other terms
conditions:
[] [Not Applicable]
or
special
Terms relating to Physical Settlement
(jj)
Physical Settlement Period:
(kk)
Accrued
Interest
Entitlement:
(ll)
Settlement Currency:
(mm)
Deliverable Obligations:
Deliverable
Category
[] Business Days
on
Obligation
[select one only]:
[Include Accrued Interest] [Exclude Accrued
Interest]
[]
[As set out in the Physical Settlement Matrix for
the Transaction Type] [Payment]
[Borrowed Money]
[Reference Obligation Only]
[Bond]
[Loan]
[Bond or Loan]
[In respect of each Reference Entity, as set out in
the Physical Settlement Matrix for the relevant
Transaction Type] (include if Tranched Portfolio
CLNs)
Deliverable
Characteristics
Obligation
[select all of which apply]:
[As set out in the Physical Settlement Matrix for
the Transaction Type]
[Specified Currency: [specify currency]]
[Standard Specified Currency]
[Not Sovereign Lender]
[Not Domestic Currency]
Domestic Currency means: [specify currency]]
[Not Domestic Law]
[Domestic Law means: [specify law]]
[Listed]
[Not Subordinated]
140
Form of Final Terms of the Notes
[Not Domestic Issuance]
[Assignable Loan]
[Consent Required Loan]
[Direct Loan Participation]
[Qualifying Participation Seller: Applicable] [Not
Applicable [insert requirements]]
[Transferable]
[Maximum Maturity: []]
[Accelerated or Matured]
[Not Bearer]
[In respect of each Reference Entity, as set out in
the Physical Settlement Matrix for the relevant
Transaction Type] (include if Tranched Portfolio
CLNs)
Additional
Obligation(s):
Deliverable
[]
(nn)
Excluded
Obligation(s):
Deliverable
[]
(oo)
Indicative Quotations:
[Applicable] [Not Applicable]
(pp)
Credit Cut-Off Date:
[]
(qq)
Guaranteed Cash Settlement
Amount:
[As specified in Credit Linked Note Condition 5] [
1
]
(rr)
Delivery
provisions
for
Entitlement if different from
Physical
Delivery
Note
Conditions:
[]
(ss)
Additional Disruption Events:
Change in Law: [Applicable] [Not Applicable]
Hedging
Disruption:
Applicable]
[Applicable]
[Not
Increased Cost of Hedging: [Applicable] [Not
Applicable]
(tt)
(uu)
1
Nth-to-Default CLNs:
[Applicable] [Not Applicable]
N:
[]
Substitution:
[Applicable] [Not Applicable]
Credit Spread Requirement:
[] (N.B. if Substitution applicable)
Tranched Portfolio CLNs:
Credit Linked Note Condition 19 [Applicable]
[Not Applicable]
Insert "Not Applicable" for Notes issued by BAC.
141
Form of Final Terms of the Notes
[If Applicable:
Attachment Point: [●]
Exhaustion Point: [●]
Interest Calculation Method: [Not Applicable]
[Weighted] (Specify Weighted if the Interest
Calculation Amount is the aggregate of the
Outstanding Principal Amount with respect to
each day during the Interest Period divided by the
number of days in that Interest Period)
"Final Redemption Amount" means a pro rata
amount per Calculation Amount, of the
Outstanding Principal Amount on the Final
Redemption Date (which may be zero).
[Relevant Annex]:
[As set out at Part [  ] below] (include where
bespoke portfolio
of Reference Entities is
required)
[The list for the Index specified below with the
Annex Date [●], as published by the Index
Publisher (which can currently be accessed at
http://www.markit.com)] (include where the
reference index is iTraxx®)
[Additional requirements where Relevant Annex
references iTraxx®:]
[Not Applicable] [Applicable] (if applicable,
complete and include the items below)
[Index: iTraxx Europe []
Index Sponsor: International Index Company Ltd.
or any successor thereto
Index Publisher: Markit Group Limited or any
replacement therefore appointed by the Index
Sponsor for the purposes of officially publishing
the Relevant Index]
(vv)
Linear Basket CLNs:
Credit Linked Note Condition 18 [Applicable]
[Not Applicable]
[If Applicable:
[Reference Entity Notional Amount: [●]] (include
if this is not Aggregate Nominal Amount divided
by the number of Reference Entities)
[Relevant Annex]:
[As set out at Part [●] below] (include where
bespoke portfolio
of Reference Entities is
required)
142
Form of Final Terms of the Notes
[The list for the Index specified below with the
Annex Date [●], as published by the Index
Publisher (which can currently be accessed at
http://www.markit.com)] (include where the
reference index is iTraxx®)
[Additional requirements where Relevant Annex
references iTraxx®:]
[Not Applicable] [Applicable] (if applicable,
complete and include the items below)
[Index: iTraxx Europe []
Index Sponsor: International Index Company Ltd.
or any successor thereto
Index Publisher: Markit Group Limited or any
replacement therefore appointed by the Index
Sponsor for the purposes of officially publishing
the Relevant Index]
(ww)
Subordinated
Insurance Terms:
(xx)
CoCo Provisions:
European
[Applicable] [Not Applicable]
Credit Linked Note Condition 20 [Applicable]
[Not Applicable]
[If Applicable:
Trigger Percentage: [As specified in Credit Linked
Note Condition 20] []]
34.
(yy)
Sovereign No Asset Package
Delivery:
Credit Linked Note Condition 21 [Applicable]
[Not Applicable]
(zz)
Other terms
conditions:
[] [Not Applicable]
or
Physical Delivery Notes:
special
[Applicable] [Not Applicable]
(N.B. Not applicable to Credit Linked Notes,
Swedish Notes or Finnish Notes)
[Cash Settlement] [Physical Delivery] [Cash
Settlement and/or Physical Delivery] (If Cash
Settlement and/or Physical Delivery specified,
specify details for determining in what
circumstances Cash Settlement or Physical
Delivery will apply)
[The provisions of "Annex 10 - Additional Terms
and Conditions for Physical Delivery Notes" shall
apply.]
(a)
Relevant Asset(s):
[]
(b)
Entitlement:
[]
(c)
Cut-Off Date:
[]
143
Form of Final Terms of the Notes
(d)
Guaranteed Cash Settlement
Amount:
[As specified in Note Condition 3] [  ] [Not
Applicable]1
(e)
Failure to Deliver due to
Illiquidity:
[Applicable] [Not Applicable]
(f)
Delivery
provisions
for
Entitlement if different from
Physical
Delivery
Note
Conditions:
[]
(g)
Settlement Business Day:
[]
(h)
Issuer's option
Settlement:
(i)
Other terms
conditions:
to
or
vary
special
[Applicable] [Not Applicable]
[] [Not Applicable]
GENERAL PROVISIONS APPLICABLE TO THE NOTES
35.
Form of Notes:
[Global Note registered in the name of a nominee
for [a common depositary for [Euroclear and
Clearstream, Luxembourg]]/[a common safekeeper
for [Euroclear and Clearstream, Luxembourg]] and
exchangeable for Definitive Registered Notes in
the limited circumstances described in the Global
Note]
[Definitive Registered Notes]
OR
[Swedish Notes
The Swedish Notes will be issued in
dematerialised and uncertificated book-entry form
in accordance with the Swedish Financial
Instruments Accounts Act (in Swedish: lag
(1998:1479) om kontoföring av finansiella
instrument).]
OR
[Finnish Notes
The Finnish Notes will be issued in dematerialised
and uncertificated book-entry form in accordance
with the Finnish Act on the Book-Entry System
and Clearing Operations (in Finnish: laki arvoosuusjärjestelmästä
ja
selvitystoiminnasta
(749/2012)) and the Finnish Act on Book-Entry
Accounts (in Finnish: laki arvo-osuustileistä
(827/1991)).]
36.
New Safekeeping Structure:
[Yes] [No]
37.
Payment Day:
[Following] [Modified Following]
1
Insert "Not Applicable" for Notes issued by BAC.
144
Form of Final Terms of the Notes
Additional Financial Centre(s) or other
special provisions relating to Payment
Days:
[Not Applicable] [give details]
39.
Details relating to Partly Paid Notes:
amount of each payment comprising
the Issue Price and date on which each
payment is to be made and
consequences of failure to pay,
including any right of the Issuer to
forfeit the Notes and interest due on
late payment:
[Not Applicable] [give details]
40.
Details relating to Instalment Notes:
38.
41.
(Note that this item relates to the place of payment
and not Interest Period end dates to which items
18(c) and 20(f) relate)
(a)
Instalment Amount(s):
[Not Applicable] [give details]
(b)
Instalment Date(s):
[Not Applicable] [give details]
Redenomination:
Redenomination [Applicable] [Not Applicable]
[(If Redenomination is applicable, specify the
terms of Redenomination in the Final Terms)]
42.
Payment Disruption (Condition 6(G)):
[Payment Disruption Event is applicable] [CNY
Payment Disruption Event is applicable] [Not
Applicable] [specify other]
[If CNY Payment Disruption Event is applicable,
include the following:]
Where "CNY Settlement Centre" means [the Hong
Kong Special Administrative Region] []]
(a)
Base
Currency:
Currency/Subject
[As specified under paragraph 29] [insert if FX
Linked Provisions are not specified to be
applicable]
(b)
Payment
Amount:
of
[Applicable] [Not Applicable]
Equivalent
[If Payment of Equivalent Amount is applicable,
include the following:
Equivalent Amount Settlement Rate: [As specified
in Condition 6(G)] [specify other]
43.
Exchange Rate:
[Applicable] [Not Applicable] [Insert details]
44.
Other terms:
[Not Applicable] [give details]
DISTRIBUTION
45.
Method of distribution:
[Syndicated] [Non-syndicated]
46.
(a)
If syndicated, names and
addresses of Managers:
[Not Applicable] [give names, and addresses]
(b)
Date of Subscription
Agreement:
[]
145
Form of Final Terms of the Notes
(c)
Stabilising Manager(s) (if
any):
[Not Applicable] [give name(s)]
47.
If non-syndicated, name and address of
relevant Dealer:
[Not Applicable] [give name and address]
48.
Calculation Agent:
[Merrill Lynch International] [specify other]
49.
Total commission and concession:
[[] per cent. of the Aggregate Nominal Amount]
[Not Applicable]
50.
U.S. Selling Restrictions:
[Regulation S Compliance Category: 2; TEFRA D
not applicable] 1 [The Notes may not be offered,
sold, resold, traded, pledged, exercised, redeemed,
transferred or delivered, directly or indirectly, in
the United States of America (including the U.S.
states and the District of Columbia), its territories,
its possessions and other areas subject to its
jurisdiction or directly or indirectly offered, sold,
resold, traded, pledged, exercised, redeemed,
transferred or delivered to, or for the account or
benefit of, any United States Person. A "United
States Person" means a person which is a "U.S.
person" as defined by Regulation S under the U.S.
Securities Act of 1933, as amended, or a "United
States person" as defined by Section 7701(a)(30)
of the U.S. Internal Revenue Code of 1986, as
amended, and in U.S. Treasury regulations.]2
51.
U.S. Tax Considerations:
[The Notes are [not] "Structured Notes" for
purposes of the discussion under "United States
Federal Income Taxation" in the Offering
Circular.] [Not Applicable]3
52.
United States Withholding Tax:
[Except as set forth in "United States Federal
Income Taxation" in the Offering Circular, the
Issuer does not intend to withhold United States
federal income tax with respect to payments to
United States Aliens.]/[The Issuer or its agent will
withhold 30 per cent. of all payments of interest
and other amounts subject to withholding, if any,
and remit such withheld taxes to the United States
Internal Revenue Service.] [Not Applicable]4
53.
Additional Amounts:
[Condition 9 applies] [Condition 9 applies, save
that paragraph (h) of Condition 9 shall not apply
and the Issuer [(failing which the Guarantor)] shall
be required to make payment of Additional
Amounts for or on account of any tax, assessment
or charge in the circumstances set out in paragraph
(h).] [Condition 9 shall not apply]
54.
Additional U.S. Tax considerations
[Not Applicable] [give details]
55.
Additional selling restrictions:
[Not Applicable] [give details]
1
Insert for Notes issued by BAC.
2
Insert for Notes issued by MLBV.
3
Insert 'Not Applicable' in the case of Notes issued by MLBV.
4
Insert 'Not Applicable' in the case of Notes issued by MLBV.
146
Form of Final Terms of the Notes
PURPOSE OF FINAL TERMS
These Final Terms comprise the Final Terms required for issue [and admission to trading on [specify
relevant market (for example, the Euro MTF of the Luxembourg Stock Exchange) and, if relevant,
admission to an official list (for example, the Official List of the Luxembourg Stock Exchange)]] of the
Notes described herein pursuant to the Note, Warrant and Certificate Programme of Bank of America
Corporation, Merrill Lynch B.V. and Merrill Lynch International & Co. C.V.
RESPONSIBILITY
[[Subject as provided below,] the Issuer accepts responsibility for the information contained in these
Final Terms.] [The information relating to [●] [and [●]] contained herein has been accurately extracted
from [insert information source(s)]. The Issuer accepts responsibility for the accuracy of such
extraction but accepts no further or other responsibility in respect of such information.]
Signed on behalf of the Issuer:
By: ....................................
Duly authorised
147
Form of Final Terms of the Notes
PART B – OTHER INFORMATION
1.
LISTING AND ADMISSION TO TRADING
[Application [has been]/[will be]/[is expected to be] made by the Issuer (or on its behalf) for
the Notes to be [admitted to trading on the Euro MTF and listed on the Official List of the
Luxembourg Stock Exchange] [specify other listing or admission to trading] [with effect from
[●].] [Not Applicable.]
(N.B. Notes issued by MLBV with over 364 days between Issue Date and Maturity Date must
be listed on a "recognised stock exchange" such as the Euro MTF.)
(Where documenting a fungible issue need to indicate that original instruments are already
admitted to trading)
2.
RATINGS
Ratings:
[The Notes have not been rated.]
(The above disclosure should be included in the
event that the Notes have not been rated)
[The Notes to be issued have been rated:
[Standard & Poor's Financial Services LLC:[●]]
[Moody's Investors Service, Inc.:
[●]]
[[Other:
[●]]
[A rating is not a recommendation to buy, sell or
hold the Notes and may be subject to suspension,
change or withdrawal at any time by the
assigning rating agency.]
3.
1
OPERATIONAL INFORMATION
(i)
ISIN:
[●]
(ii)
Common Code:
[●]
(iii)
Any clearing system(s) other
than Euroclear Bank SA/NV,
Clearstream Banking, société
anonyme, Euroclear Sweden or
any duly authorised Swedish
central securities depository
under the Swedish CSD Rules
and Euroclear Finland, Ltd, and
the
relevant
identification
number(s):
[Not Applicable] [give name(s) and number(s)]
(iv)
Delivery:
Delivery [against] [free of] payment
(v)
Names and addresses of initial
Paying Agents:
[Bank of America, N.A. (operating through its
London Branch)
2 King Edward Street
London EC1A 1HQ
United Kingdom]1
Include in the case of all Notes, except Swedish Notes and Finnish Notes.
148
Form of Final Terms of the Notes
[Skandinaviska Enskilda Banken AB (publ)
Kungsträdgårdsgatan 8
SE-10640 Stockholm
Sweden]1
[Skandinaviska Enskilda Banken AB (publ),
Helsinki Branch
Unioninkatu 30
00100 Helsinki
Finland]2
(vi)
[Merrill Lynch Equity S.à.r.l.
Registrar:
Atrium Business Park
33 Rue du Puits Romain
Bertrange L-8070
3
Luxembourg]
(vii)
Names and addresses
of
additional Paying Agent(s) (if
any):
[]
(viii)
Intended to be held in a manner
which would allow Eurosystem
eligibility.
[Yes. Note that the designation "yes" simply
means that the Notes are intended upon issue to
be deposited with one of the ICSDs as common
safekeeper, and registered in the name of a
nominee of one of the ICSDs acting as common
safekeeper (i.e. held under the New Safekeeping
Structure (the "NSS")), and does not necessarily
mean that the Notes will be recognised as
eligible collateral for Eurosystem monetary
policy and intra-day credit operations by the
Eurosystem either upon issue or at any or all
times during their life. Such recognition will
depend upon the European Central Bank being
satisfied that the Eurosystem eligibility criteria
have been met.]
[No. However, if after the date of these Final
Terms, the Eurosystem eligibility criteria are
amended such that the Notes are capable of
meeting such criteria, the Notes may then be
deposited with one of the ICSDs as common
safekeeper, and registered in the name of a
nominee of one of the ICSDs acting as common
safekeeper (i.e. held under the New Safekeeping
Structure (the "NSS")). Note that this does not
necessarily mean that the Notes will then be
recognised as eligible collateral for Eurosystem
monetary policy and intra-day credit operations
by the Eurosystem at any time during their life.
Such recognition will depend upon the European
Central Bank being satisfied that the Eurosystem
eligibility criteria have been met.]
1
Include in the case of Swedish Notes.
2
Include in the case of Finnish Notes.
3
Include in the case of all Registered Notes.
149
Form of Final Terms of the Notes
[Schedule - Index Disclaimer
[Include applicable disclaimer, if any]]
150
Form of Final Terms of the Notes
ANNEX
[This Annex shall be included after publication of any supplement to the Offering Circular.]
The Offering Circular dated 24 January 2017 has been supplemented by the following supplement(s):
Supplement
Description
Date
Supplement No. [●]
In respect of [insert short description of
content]
[●]
151
Form of Final Terms of the Notes
[ANNEX – REFERENCE PORTFOLIO] (include if (i) reference is not made to a Relevant Annex or
(ii) if preferred for the purposes of disclosure)
Reference
Entity
Reference
Obligation
Primary
Obligor
(Issuer)
Reference
Obligation
Guarantor
(if any)
Reference
Obligation
ISIN
Reference
Obligation
Maturity
Reference
Obligation
Coupon
(%)
Transaction
Type
Reference
Entity
Weighting
(%)
[]
[]
[]
[]
[]
[]
[]
[]
152
Terms and Conditions of the Notes
TERMS AND CONDITIONS OF THE NOTES
The following are the "Terms and Conditions of the Notes" which will be incorporated by reference
into each Global Note (as defined below) and each individual note certificate (an "Individual Note
Certificate") representing a Registered Note (as defined below) in definitive form (a "Definitive
Registered Note"), and in the case of Individual Note Certificates only if permitted by the relevant
stock exchange or other relevant authority (if any) and agreed by the relevant Issuer, as applicable,
and the relevant Dealer at the time of issue but, if not so permitted and agreed, such Individual Note
Certificate will have endorsed thereon or attached thereto such Terms and Conditions. The Terms and
Conditions will also apply to, and be incorporated by reference into, Swedish Notes (as defined below)
and Finnish Notes (as defined below). The applicable Final Terms (as defined below) in relation to
any Tranche (as defined below) of Notes may specify other terms and conditions (including the
Additional Terms and Conditions described below) which shall, to the extent so specified or to the
extent inconsistent with the following Terms and Conditions, replace or modify the following Terms
and Conditions for the purpose of such Tranche of Notes. The applicable Final Terms (or the relevant
provisions thereof) will be endorsed upon, or attached to, each Global Note and Individual Note
Certificate and will constitute a part of the Conditions of the Swedish Notes and the Finnish Notes.
This Note is one of a Series (as defined below) of notes (the "Notes") issued by whichever of Bank of
America Corporation ("BAC") or Merrill Lynch B.V. ("MLBV") is specified as the Issuer in the
applicable Final Terms (the "Issuer"), and references to the Issuer shall be construed accordingly.
References herein to the "Notes" shall be references to the Notes of a Series and shall mean:
(a)
in relation to any Registered Note represented by a global Note (a "Global Note"), units of
each Specified Denomination in the Specified Currency;
(b)
any Global Note;
(c)
any Definitive Registered Notes issued in exchange for a Global Note; and
(d)
any Swedish Note or Finnish Note.
Notes issued by BAC have the benefit of an Amended and Restated New York Law Agency
Agreement dated 10 May 2016 (such agency agreement as amended and/or supplemented and/or
restated from time to time, the "New York Law Agency Agreement") which is governed by the laws
of the State of New York and made among BAC, Bank of America, N.A. (operating through its
London Branch) as principal paying agent (the "Principal Paying Agent"), Merrill Lynch Equity
S.à.r.l. as registrar (the "Registrar") and the other agents named therein.
Any other paying agents appointed pursuant to the New York Law Agency Agreement, together with
the Principal Paying Agent, are referred to herein as the "BAC Paying Agents".
Notes issued by MLBV have the benefit of an Amended and Restated English Law Agency Agreement
dated 10 May 2016 (such agency agreement as amended and/or supplemented and/or restated from
time to time, the "English Law Agency Agreement" and, together with the New York Law Agency
Agreement, the "Agency Agreements") which is governed by English law and made among MLBV,
Merrill Lynch International & Co. C.V., BAC in its capacity as Guarantor, the Principal Paying Agent,
Skandinaviska Enskilda Banken AB (publ) as Swedish paying agent (the "Swedish Paying Agent"),
Skandinaviska Enskilda Banken AB (publ), Helsinki Branch as Finnish paying agent (the "Finnish
Paying Agent" and, together with the Principal Paying Agent and the Swedish Paying Agent, the
"MLBV Paying Agents" which expression shall include any additional or successor paying agents
appointed pursuant to the English Law Agency Agreement, and the BAC Paying Agents and the
MLBV Paying Agents are referred to herein as the "Paying Agents"), the Registrar and the other
agents named therein.
References herein to the "applicable Agency Agreement" shall mean (i) the New York Law Agency
Agreement, in the case of Notes issued by BAC, or (ii) the English Law Agency Agreement, in the case
of Notes issued by MLBV, as applicable.
References herein to the "Agents" are to the Registrar and the Paying Agents and any reference to an
"Agent" is to any one of them.
153
Terms and Conditions of the Notes
The applicable Final Terms (the "Final Terms") for the Notes (or the relevant provisions thereof) are
set out in Part A of the Final Terms attached to, endorsed on or constituting a part of the Note which
supplement these Terms and Conditions (the "Terms and Conditions", or the "Conditions") and may
specify other terms and conditions which shall, to the extent so specified or to the extent inconsistent
with these Terms and Conditions, replace or modify these Terms and Conditions for the purposes of the
Note. References to the "applicable Final Terms" are to Part A of the Final Terms (or the relevant
provisions thereof) attached to, endorsed on or constituting a part of the Note.
The additional Terms and Conditions (the "Additional Terms and Conditions") contained in Annex 1
in the case of Index Linked Notes, Annex 2 in the case of Share Linked Notes, Annex 4 in the case of
GDR/ADR Linked Notes, Annex 5 in the case of FX Linked Notes, Annex 6 in the case of Commodity
Linked Notes, Annex 7 in the case of Fund Linked Notes, Annex 8 in the case of Inflation Linked
Notes, Annex 9A in the case of Credit Linked Notes and Annex 10 in the case of Physical Delivery
Notes (each as defined below) will apply to, and form part of the Terms and Conditions of the Notes if
and to the extent specified in the applicable Final Terms.
The payment of principal, interest and all other amounts payable and/or delivery of non-cash
consideration deliverable in respect of Notes issued by MLBV are unconditionally and irrevocably
guaranteed by BAC (in such capacity, the "Guarantor") pursuant to a guarantee (the "Guarantee")
dated 10 May 2016 executed by BAC. The original of the Guarantee is held by the Principal Paying
Agent on behalf of the Holders of the Notes issued by MLBV at its specified office.
Any reference to "Noteholders" or "Holders" shall mean the person in whose name a Registered Note
is registered and in relation to any Notes represented by a Global Note or any Swedish Notes or Finnish
Notes, shall be construed as provided below.
As used herein, "Tranche" means Notes which are identical in all respects (including as to listing and
admission to trading) and "Series" means a Tranche of Notes together with any further Tranche or
Tranches of Notes which are (i) expressed to be consolidated and form a single series and (ii) identical
in all respects (including as to listing and admission to trading) except for their respective Issue Dates,
Interest Commencement Dates (if applicable) and/or Issue Prices (each as defined below).
The Holders of the Notes issued by MLBV are entitled to the benefit of the Notes Deed of Covenant
(the "MLBV Notes Deed of Covenant") dated 10 May 2016 and made by MLBV. The original of the
MLBV Notes Deed of Covenant is held by a common depositary for Euroclear and Clearstream,
Luxembourg (each as defined below) (the "Common Depositary").
Copies of the New York Law Agency Agreement are available for inspection during normal business
hours at the specified office of each BAC Paying Agent. Copies of the English Law Agency
Agreement, the Guarantee and the MLBV Notes Deed of Covenant are available for inspection during
normal business hours at the specified office of each of the MLBV Paying Agents. Copies of the
applicable Final Terms are available for viewing at the specified office of the Issuer and the Paying
Agents only by a Noteholder holding one or more Notes and such Noteholder must produce evidence
satisfactory to the Issuer or the relevant Paying Agent as to its holding of such Notes and identity. The
Offering Circular and, in the case of Notes admitted to trading on the Luxembourg Stock Exchange's
Euro MTF, the applicable Final Terms will also be published on the website of the Luxembourg Stock
Exchange (www.bourse.lu). Final Terms relating to Notes listed and/or admitted to trading on any
other stock exchange or market will be published in accordance with the rules and regulations of such
stock exchange or market.
The Noteholders are deemed to have notice of, and are entitled to the benefit of, all the provisions of
the applicable Agency Agreement, the Guarantee (if applicable), the MLBV Notes Deed of Covenant
(if applicable) and the applicable Final Terms which are applicable to them. The statements in these
Terms and Conditions include summaries of, and are subject to, the detailed provisions of the
applicable Agency Agreement.
Words and expressions defined in the applicable Agency Agreement or used in the applicable Final
Terms shall have the same meanings where used in these Terms and Conditions unless the context
otherwise requires or unless otherwise stated and provided that, in the event of inconsistency between
the applicable Agency Agreement and the applicable Final Terms, the applicable Final Terms will
prevail.
154
Terms and Conditions of the Notes
1.
Form, Denomination and Title
The Notes are issued in registered form ("Registered Notes") and, in the case of Individual
Note Certificates, serially numbered, in the Specified Currency and the Specified
Denomination(s). Notes of one Specified Denomination may not be exchanged for Notes of
another Specified Denomination, or subdivided or reissued in a smaller denomination.
The Notes may be Fixed Rate Notes, Floating Rate Notes, Zero Coupon Notes, Index Linked
Interest Notes, Share Linked Interest Notes, GDR/ADR Linked Interest Notes, FX Linked
Interest Notes, Commodity Linked Interest Notes, Fund Linked Interest Notes, Inflation
Linked Interest Notes, interest bearing Credit Linked Notes or a combination of any of the
foregoing depending on the Interest Basis specified in the applicable Final Terms.
The Notes may be Instalment Notes, Partly Paid Notes, Index Linked Redemption Notes
(together with Index Linked Interest Notes, "Index Linked Notes"), Share Linked
Redemption Notes (together with Share Linked Interest Notes, "Share Linked Notes"),
GDR/ADR Linked Redemption Notes (together with GDR/ADR Linked Interest Notes,
"GDR/ADR Linked Notes"), FX Linked Redemption Notes (together with FX Linked
Interest Notes, "FX Linked Notes"), Commodity Linked Redemption Notes (together with
Commodity Linked Interest Notes, "Commodity Linked Notes"), Fund Linked Redemption
Notes (together with Fund Linked Interest Notes, "Fund Linked Notes"), Inflation Linked
Redemption Notes (together with Inflation Linked Interest Notes, "Inflation Linked Notes"),
Credit Linked Notes, or a combination of any of the foregoing, depending upon the
Redemption/Payment Basis specified in the applicable Final Terms.
If the applicable Final Terms specify "Physical Delivery Notes" to be applicable, the Note
may be redeemed by delivery of the Entitlement, and "Annex 10 – Additional Terms and
Conditions for Physical Delivery Notes" shall apply.
Subject as set out below, title to Registered Notes shall, subject to mandatory rules of law,
pass by registration in the Register that the Issuer shall procure to be kept by the Registrar in
accordance with the provisions of the applicable Agency Agreement.
For so long as any of the Notes are represented by a Global Note held on behalf of Euroclear
Bank SA/NV ("Euroclear") and/or Clearstream Banking, société anonyme ("Clearstream,
Luxembourg"), each person (other than Euroclear or Clearstream, Luxembourg) who is for
the time being shown in the records of Euroclear or Clearstream, Luxembourg as the holder of
a particular nominal amount of such Notes (in which regard any certificate or other document
issued by Euroclear or Clearstream, Luxembourg as to the nominal amount of such Notes
standing to the account of any person shall be conclusive and binding for all purposes save in
the case of manifest or proven error) shall be treated by the Issuer, the Guarantor (in the case
of Notes issued by MLBV), the Registrar and the Paying Agents, as applicable, as the holder
of such nominal amount of such Notes for all purposes other than with respect to the payment
of principal, premium (if any) or interest or any other amounts payable on, or deliveries in
respect of, such nominal amount of such Notes, for which purpose the registered holder of the
relevant Global Note shall be treated by the Issuer, the Guarantor (in the case of Notes issued
by MLBV), the Registrar and any Paying Agent, as applicable, as the holder of such nominal
amount of such Notes in accordance with and subject to the terms of the relevant Global Note
(and the expression "Holder" and related expressions shall be construed accordingly).
Any reference herein to Euroclear and/or Clearstream, Luxembourg, Euroclear Sweden AB
("Euroclear Sweden") or Euroclear Finland, Ltd ("Euroclear Finland") shall, whenever the
context so permits, be deemed to include a reference to any additional or alternative clearing
system approved by the Issuer and the Principal Paying Agent from time to time and notified
to the Noteholders in accordance with Condition 14 (Notices).
Swedish Note(s)
If the applicable Final Terms indicate that the Notes are to be issued into and cleared through
the Swedish CSD ("Swedish Notes"), such Series of Swedish Notes will be issued in
dematerialised and uncertificated book-entry form in accordance with the Swedish CSD Rules.
155
Terms and Conditions of the Notes
The holder of any such Swedish Notes will be the person in whose name such Swedish Note is
registered in the Swedish Register in accordance with the Swedish CSD Rules and the
reference to a person in whose name a Swedish Note is so registered shall include any person
duly authorised to act as a nominee (in Swedish: förvaltare) and registered as such for the
Swedish Notes and except as ordered by a court of competent jurisdiction or as required by
law, such holder of such Swedish Notes shall be deemed to be and may be treated as its
absolute owner for all purposes, whether or not it is overdue and regardless of any notice of
ownership, trust or an interest in it and no person shall be liable for so treating such holder
(and the expression "Holder" and related expressions shall be construed accordingly).
All Swedish Notes of the same Series shall have the same denomination. For so long as it is a
requirement under the Swedish CSD Rules, the specified currency for Swedish Notes may
only be SEK or EUR, as specified in the applicable Final Terms.
The Issuer shall be entitled to obtain information from the Swedish Register in accordance
with the Swedish CSD Rules.
Swedish Notes will be Cash Settled Notes only.
Finnish Note(s)
If the applicable Final Terms indicate that the Notes are to be issued into and cleared through
Euroclear Finland ("Finnish Notes"), such Series of Finnish Notes will be issued in
dematerialised and uncertificated book-entry form in accordance with the Euroclear Finland
Rules.
The holder of any such Finnish Notes will be the person in whose name such Finnish Note is
registered in the Finnish Register in accordance with the Euroclear Finland Rules and the
reference to a person in whose name a Finnish Note is so registered shall be deemed to include
any person duly authorised to act as a nominee and registered as such for the Finnish Notes
(and the expression "Holder" and related expressions shall be construed accordingly). The
Issuer shall make all payments due under the Finnish Notes to their Holders registered in the
Finnish Register, in accordance with the Euroclear Finland Rules, and shall thereby be
discharged from its obligations to the Holders under such Finnish Notes. Title to Finnish
Notes shall pass by transfer from a Holder's book-entry securities account to another bookentry securities account within the Finnish Register (except where the Finnish Notes are
nominee-registered and are transferred from one sub-account to another with the same
nominee).
All Finnish Notes of the same Series shall have the same denomination. To the extent that it is
a requirement under the Euroclear Finland Rules, the specified currency for Finnish Notes
may only be EUR.
The Issuer and the Finnish Paying Agent shall be entitled to obtain information on Holders
and other information from the Finnish Register in accordance with the Euroclear Finland
Rules.
Finnish Notes will be Cash Settled Notes only.
Definitions
As used in the Terms and Conditions, the following expressions have the following meanings:
"Commodity Linked Interest Notes" means any Notes in respect of which the "Interest
linked to one or more Reference Item(s) provisions" are specified to be applicable and the
"Interest Basis" is specified to be "Commodity Linked" in the applicable Final Terms.
"Commodity Linked Redemption Notes" means any Notes in respect of which the
"Redemption/Payment Basis" is specified to be "Commodity Linked" in the applicable Final
Terms.
156
Terms and Conditions of the Notes
"Credit Linked Notes" means any Notes in respect of which the Additional Terms and
Conditions set forth in "Annex 9A – Additional Terms and Conditions for Credit Linked
Notes" are specified as being applicable in the applicable Final Terms.
"Euroclear Finland Rules" means Finnish laws, regulations, decisions and operating
procedures from time to time applicable to the Finnish Notes and/or issued by Euroclear
Finland.
"Finnish Register" means the book-entry register maintained by Euroclear Finland in respect
of Finnish Notes in accordance with the Euroclear Finland Rules.
"Fund Linked Interest Notes" means any Notes in respect of which the "Interest linked to
one or more Reference Item(s) provisions" are specified to be applicable and the "Interest
Basis" is specified to be "Fund Linked" in the applicable Final Terms.
"Fund Linked Redemption Notes" means any Notes in respect of which the
"Redemption/Payment Basis" is specified to be "Fund Linked" in the applicable Final Terms.
"FX Linked Interest Notes" means any Notes in respect of which the "Interest linked to one
or more Reference Item(s) provisions" are specified to be applicable and the "Interest Basis" is
specified to be "FX Linked" in the applicable Final Terms.
"FX Linked Redemption Notes" means any Notes in respect of which the
"Redemption/Payment Basis" is specified to be "FX Linked" in the applicable Final Terms.
"GDR/ADR Linked Interest Notes" means any Notes in respect of which the "Interest linked
to one or more Reference Item(s) provisions" are specified to be applicable and the "Interest
Basis" is specified to be "GDR/ADR Linked" in the applicable Final Terms.
"GDR/ADR Linked Redemption Notes" means any Notes in respect of which the
"Redemption/Payment Basis" is specified to be "GDR/ADR Linked" in the applicable Final
Terms.
"Index Linked Interest Notes" means any Notes in respect of which the "Interest linked to
one or more Reference Item(s) provisions" are specified to be applicable and the "Interest
Basis" is specified to be "Index Linked" in the applicable Final Terms.
"Index Linked Redemption Notes" means any Notes in respect of which the
"Redemption/Payment Basis" is specified to be "Index Linked" in the applicable Final Terms.
"Inflation Linked Interest Notes" means any Notes in respect of which the "Interest linked to
one or more Reference Item(s) provisions" are specified to be applicable and the "Interest
Basis" is specified to be "Inflation Linked" in the applicable Final Terms.
"Inflation Linked Redemption Notes" means any Notes in respect of which the
"Redemption/Payment Basis" is specified to be "Inflation Linked" in the applicable Final
Terms.
"Register" means the relevant register held by the Registrar in respect of Registered Notes.
"Share Linked Interest Notes" means any Notes in respect of which the "Interest linked to
one or more Reference Item(s) provisions" are specified to be applicable and the "Interest
Basis" is specified to be "Share Linked" in the applicable Final Terms.
"Share Linked Redemption Notes" means any Notes in respect of which the
"Redemption/Payment Basis" is specified to be "Share Linked" in the applicable Final Terms.
"Swedish CSD" means the Swedish central securities
värdepappersfövarare) which is expected to be Euroclear Sweden.
157
depository
(central
Terms and Conditions of the Notes
"Swedish CSD Rules" means the Swedish Financial Instruments Accounts Act (in Swedish:
lag (1998:1479) om kontoföring ov finansiella instrument) and any regulations, rules and
operating procedures applicable to and/or issued by the Swedish CSD from time to time.
"Swedish Register" means the book-entry register maintained by the Swedish CSD on behalf
of the Issuer in respect of Swedish Notes in accordance with Swedish CSD Rules.
2.
Exchange and Transfer of Notes
(A)
Exchange of Notes
In the case of an exchange of a Global Note for one or more Individual Note Certificates, the
Registrar will reflect any such exchange on the Register, and one or more new Individual Note
Certificates will be issued to the designated transferee or transferees by the Principal Paying
Agent.
(B)
Notes held in Euroclear, Clearstream, Luxembourg, the Swedish CSD and Euroclear Finland
Notes which are represented by a Global Note will be transferable only in accordance with the
rules and procedures for the time being of Euroclear and/or Clearstream, Luxembourg, as the
case may be.
Swedish Notes will be issued, cleared, settled and transferable only in accordance with the
provisions of the Swedish CSD Rules. Title to Swedish Notes will pass by registration in the
Swedish Register. Where a nominee is registered as a holder of Swedish Notes it shall be
treated for all purposes as the holder of such Swedish Notes. No holder of a Swedish Note
may require the transfer of a Swedish Note to be registered during a period which is the
equivalent to any such closed period pursuant to the rules and regulations applicable to, and/or
issued by, the Swedish CSD.
Finnish Notes will be issued, cleared, settled and transferable only in accordance with the
provisions of the Euroclear Finland Rules. Title to Finnish Notes will pass by registration in
the Finnish Register. Where a nominee is registered as a holder of Finnish Notes it shall be
treated as the holder of such Finnish Notes for the purpose of the terms and conditions of the
Finnish Notes. No holder of a Finnish Note may require the transfer of a Finnish Note to be
registered during a period which is the equivalent to any such closed period pursuant to the
rules and regulations applicable to, and/or issued by, Euroclear Finland.
(C)
Transfer of Definitive Registered Notes and Global Notes
Subject to Condition 2(F) (Closed Periods), transfers of Definitive Registered Notes or Global
Notes are effected upon the surrender (at the specified office of the Principal Paying Agent) of
the Individual Note Certificates or Global Note, as applicable, to be transferred together with
the form of transfer endorsed on such Individual Note Certificates or Global Note, as
applicable (or another form of transfer substantially in the same form and containing the same
representations and certifications (if any), unless otherwise agreed by the Issuer), duly
completed and executed by the person shown as the registered holder on the Register, or its
attorney duly authorised in writing, and such other evidence as the Principal Paying Agent
may reasonably require. The Registrar will reflect any such transfer on the Register. In the
case of the transfer of all of a holding of Notes represented by one Individual Note Certificate
or Global Note, as applicable, the Principal Paying Agent will cancel the Individual Note
Certificate or Global Note, as applicable, surrendered by the transferor, and one new
Individual Note Certificate or Global Note, as applicable, will be issued to the designated
transferee (following the transferee's surrender of any existing Individual Note Certificate or
Global Note, as applicable, in respect of Notes of that Series). In the case of a transfer of part
only of a holding of Notes represented by one Individual Note Certificate, a new Individual
Note Certificate will be issued to the designated transferee (following the transferee's
surrender of any existing Individual Note Certificate in respect of Notes of that Series) and a
further new Individual Note Certificate in respect of the balance of the holding not transferred
shall be issued to the transferor. In the case of a transfer of Definitive Registered Notes of a
Series to a transferee who is already a Holder of such Series, a new Individual Note Certificate
representing the enlarged holding shall only be issued against surrender of the Individual Note
158
Terms and Conditions of the Notes
Certificate representing the existing holding. No beneficial owner of an interest in a Global
Note will be able to transfer such interest, except as described above in Condition 2(B)
(Exchange and Transfer of Notes - Notes held in Euroclear, Clearstream, Luxembourg, the
Swedish CSD and Euroclear Finland).
(D)
Exercise of Options or Partial Redemption in Respect of Notes
In the case of an exercise of an Issuer Call or Investor Put in respect of, or a partial redemption
of, a holding of Notes represented by a Global Note, the Registrar shall make such entries in
the Register to reflect the exercise of such option or in respect of the balance of the holding
not redeemed.
In the case of an exercise of an Issuer Call or Investor Put in respect of, or a partial redemption
of, a holding of Definitive Registered Notes represented by a single Individual Note
Certificate, a new Individual Note Certificate shall be issued to the Holder to reflect the
exercise of such option or in respect of the balance of the holding not redeemed. In the case of
a partial exercise of an option resulting in Definitive Registered Notes of the same holding
having different terms, separate Individual Note Certificates shall be issued in respect of those
Notes of that holding that have the same terms. New Individual Note Certificates shall only be
issued against surrender of the existing Individual Note Certificate to the Principal Paying
Agent.
(E)
Delivery of New Individual Note Certificates and Global Notes
Each new Individual Note Certificate or Global Note to be issued pursuant to this Condition 2
(Exchange and Transfer of Notes) shall be available for delivery within three Business Days
of receipt of the form of transfer and surrender of the Individual Note Certificate or Global
Note, as applicable, for exchange. Delivery of the new Individual Note Certificate(s) or
Global Note, as applicable, shall be made at the specified office of the Principal Paying Agent
to whom delivery or surrender of such request for exchange, form of transfer, or Individual
Note Certificate or Global Note shall have been made or, at the option of the Holder making
such delivery or surrender as aforesaid and as specified in the relevant request for exchange,
form of transfer or otherwise in writing, be mailed by uninsured post at the risk of the Holder
entitled to the new Individual Note Certificate or Global Note (as applicable) to such address
as may be so specified, unless such Holder requests otherwise and pays in advance to the
Principal Paying Agent the costs of such other method of delivery and/or such insurance as it
may specify.
(F)
Closed Periods
No Holder may require the transfer of Notes to be registered:
(i)
during the period beginning on the Record Date and ending on the due date for
redemption of, or payment of any Instalment Amount, or amount of interest, in respect
of, that Note;
(ii)
during the period beginning on the Record Date and ending on the date on which Notes
may be called for redemption by the Issuer at its option pursuant to Condition 7(D)
(Redemption and Purchase - Redemption at the Option of the Issuer (Issuer Call));
(iii)
after any such Note has been called for redemption;
(iv)
during the period beginning on the Record Date and ending on the date fixed for any
meeting of Noteholders, or any adjourned meeting of Noteholders;
(v)
during the period of seven calendar days ending on (and including) any Record Date;
or
(vi)
if the Registrar learns that the proposed transfer or exchange would violate any legend
contained on the face of such Global Note or Individual Note Certificate.
159
Terms and Conditions of the Notes
Unless otherwise specified, as used herein "Record Date" means (i) in respect of any
Definitive Registered Notes, the close of business (London time) on the 15th calendar day and
(ii) in respect of any Global Notes, the close of business on the Relevant Clearing System
Business Day, in each case, prior to the applicable due date for redemption of a Note, or the
payment of any Instalment Amount or amount of interest in respect of a Note, or the date fixed
for any meeting, or adjourned meeting, of holders of Notes, where "Relevant Clearing
System Business Day" means a day on which the relevant clearing system through which the
Notes are held is open for business.
For the avoidance of doubt, this Condition 2(F) (Exchange and Transfer of Notes - Closed
Periods) shall not apply to or restrict the Issuer's ability to purchase an outstanding Series of
Notes pursuant to Condition 7(L) (Redemption and Purchase - Purchases).
(G)
Exchange or Transfer Free of Charge
Exchange and transfer of Notes on registration, transfer, partial redemption, partial repayment,
settlement or exercise of an option (as applicable) shall be effected without charge by or on
behalf of the Issuer or the Principal Paying Agent, but upon payment by the Holder of any tax
or other governmental charges that may be imposed in relation to it (or the giving of such
indemnity as the Principal Paying Agent may require).
3.
Status of the Notes and the Guarantee
(A)
Status of the Notes and Guarantee
The Notes issued by MLBV constitute direct, unsubordinated, unconditional and unsecured
obligations of the Issuer and rank equally among themselves and rank equally (subject to
exceptions as are from time to time provided by applicable laws and regulations) with all other
present and future direct, unsubordinated, unconditional and unsecured obligations of MLBV.
In respect of Notes issued by MLBV, the obligations of the Guarantor under the Guarantee,
save for such exceptions as may be provided by applicable laws and regulations or judicial
order, will rank pari passu with its other present and future unsecured and unsubordinated
obligations.
The Notes issued by BAC will be unsecured and unsubordinated obligations of BAC and will
rank equally with all of BAC's other unsecured and unsubordinated obligations from time to
time outstanding, except obligations, including deposit liabilities, that are subject to any
priorities or preferences by law.
(B)
Terms of the Guarantee
Under the Guarantee, the Guarantor has unconditionally and irrevocably guaranteed to the
holders of Notes issued by MLBV, (i) the due and punctual payment of any and all amounts
payable by MLBV as obligor in respect of the Notes issued by MLBV and (ii) subject as
provided below, the due and punctual delivery of non-cash consideration deliverable by
MLBV in respect of the Notes issued by MLBV, if applicable, when and as the same shall
become due and payable or when the same shall become due for delivery pursuant to the
Conditions and to the extent provided in the Guarantee. As more fully set forth in the
Guarantee, the Guarantor shall at all times have the right, at its sole and unfettered discretion,
to elect not to deliver or procure delivery of the Entitlement to the Holders of Physical
Delivery Notes issued by MLBV when the same shall become due and deliverable, but, in lieu
thereof, to pay an amount in cash equal to the Guaranteed Cash Settlement Amount. The
"Guaranteed Cash Settlement Amount" in respect of each Note issued by MLBV means an
amount calculated pursuant to the terms of, or as specified in, the applicable Final Terms (or,
in respect of each Credit Linked Note, as set out in Credit Linked Note Condition 5 (Physical
Settlement) of "Annex 9A – Additional Terms and Conditions for Credit Linked Notes") or, if
not specified in the applicable Final Terms, an amount equal to the fair market value of the
Entitlement in respect of such Note on any date notified as such by the Guarantor to MLBV
and the Calculation Agent, less the cost to MLBV and/or its Affiliates or agents of unwinding
or adjusting any underlying or related hedging arrangements (including the cost of funding in
respect of such hedging arrangements), all as determined by the Guarantor in its sole and
160
Terms and Conditions of the Notes
absolute discretion. Any payment of the Guaranteed Cash Settlement Amount in lieu of the
Entitlement shall constitute a complete discharge of the Guarantor's obligations in respect of
such Physical Delivery Notes.
4.
Redenomination
(A)
Redenomination
Where redenomination is specified in the applicable Final Terms as being applicable, the
Issuer may, without the consent of the Noteholders on giving prior notice to the Principal
Paying Agent, Euroclear and Clearstream, Luxembourg and at least 30 calendar days' prior
notice to the Noteholders in accordance with Condition 14 (Notices), elect that, with effect
from the Redenomination Date specified in the notice, the Notes shall be redenominated in
euro.
The election will have effect as follows:
(a)
the Notes shall be deemed to be redenominated in euro in the denomination of €0.01
with a nominal amount for each Note equal to the nominal amount of that Note in the
Specified Currency, converted into euro at the Established Rate, provided that, if the
Issuer determines, with the agreement of the Principal Paying Agent, that the then
market practice in respect of the redenomination in euro of internationally offered
securities is different from the provisions specified above, such provisions shall be
deemed to be amended so as to comply with such market practice and the Issuer shall
promptly notify the Noteholders, the stock exchange (if any) on which the Notes may
be listed, and the Paying Agents of such deemed amendments;
(b)
save to the extent that an Exchange Notice has been given in accordance with
paragraph (d) below, the amount of interest due in respect of the Notes will be
calculated by reference to the aggregate nominal amount of Notes presented for
payment by the relevant holder and the amount of such payment shall be rounded down
to the nearest €0.01;
(c)
if Definitive Registered Notes are required to be issued after the Redenomination Date,
they shall be issued at the expense of the Issuer, in the denominations of €1,000,
€10,000, €100,000 and (but only to the extent of any remaining amounts less than
€1,000 or such smaller denominations as the Principal Paying Agent may approve)
€0.01 and such other denominations as the Principal Paying Agent shall determine and
notify to the Noteholders;
(d)
the payment obligations contained in any Notes issued prior to the Redenomination
Date will become void on the date on which the Issuer gives notice (the "Exchange
Notice") that replacement euro-denominated Notes are available for exchange
(provided that such securities are so available) and no payments will be made in respect
of them, although those Notes will continue to constitute valid exchange obligations of
the Issuer. New euro-denominated Notes will be issued in exchange for Notes
denominated in the Specified Currency in such manner as the Principal Paying Agent
may specify and as shall be notified to the Noteholders in the Exchange Notice. No
Exchange Notice may be given less than 15 calendar days prior to any date for payment
of principal or interest (if any) on the Notes;
(e)
after the Redenomination Date, all payments in respect of the Notes, other than
payments of interest (if any) in respect of periods commencing before the
Redenomination Date, will be made solely in euro as though references in the Notes to
the Specified Currency were to euro. Payments will be made in euro by credit or
transfer to a euro account (or any other account to which euro may be credited or
transferred) specified by the payee or, at the option of the payee, by a euro cheque;
(f)
if the Notes are Fixed Rate Notes and interest for any period ending on or after the
Redenomination Date is required to be calculated for a period ending other than on an
Interest Payment Date, it will be calculated:
161
Terms and Conditions of the Notes
(i)
in the case of the Notes represented by a Global Note, by applying the Rate of
Interest to the aggregate outstanding nominal amount of the Notes represented
by such Global Note; and
(ii)
in the case of Definitive Registered Notes, by applying the Rate of Interest to
the Calculation Amount,
and, in each case, multiplying such sum by the applicable Day Count Fraction, and
rounding the resultant figure to the nearest sub-unit of the relevant Specified Currency,
half of any such sub-unit being rounded upwards or otherwise in accordance with
applicable market convention. Where the Specified Denomination of a Fixed Rate
Note in definitive form is a multiple of the Calculation Amount, the amount of interest
payable in respect of such Fixed Rate Note shall be the product of the amount
(determined in the manner provided above) for the Calculation Amount and the amount
by which the Calculation Amount is multiplied to reach the Specified Denomination,
without any further rounding;
(B)
(g)
if the Notes are Floating Rate Notes, the applicable Final Terms will specify any
relevant changes to the provisions relating to interest; and
(h)
such other changes shall be made to this Condition 4 (Redenomination) as the Issuer
may decide, after consultation with the Paying Agents and as may be specified in the
notice, to conform it to conventions applicable to instruments denominated in euro.
Definitions
In the Terms and Conditions, the following expressions have the following meanings:
"Established Rate" means the rate for the conversion of the Specified Currency (including
compliance with rules relating to roundings in accordance with applicable European
Community regulations) into euro established by the Council of the European Union pursuant
to Article 123 of the Treaty.
"euro" means the lawful single currency of the member states of the European Union that
have adopted and continue to retain a common single currency through monetary union in
accordance with European Union treaty law (as amended from time to time).
"Redenomination Date" means (in the case of interest-bearing Notes) any date for payment
of interest under the Notes or (in the case of Zero Coupon Notes) any date, in each case
specified by the Issuer in the notice given to the Noteholders pursuant to Condition 4(A)
(Redenomination) above and which falls on or after the date on which the country of the
Specified Currency first participates in the third stage of European economic and monetary
union.
5.
Interest
(A)
Day Count Fraction
"Day Count Fraction" means, in respect of the calculation of an amount of interest in
accordance with this Condition 5 (Interest):
(a)
if "Actual/Actual (ICMA)" is specified in the applicable Final Terms:
(i)
in the case of Notes where the number of days in the relevant period from (and
including) the most recent Interest Payment Date (or, if none, the Interest
Commencement Date) to (but excluding) the relevant payment date (the
"Accrual Period") is equal to or shorter than the Determination Period during
which the Accrual Period ends, the number of days in such Accrual Period
divided by the product of (1) the number of days in such Determination Period
and (2) the number of Determination Dates (as specified in the applicable Final
Terms) that would occur in one calendar year assuming interest were payable in
respect of the whole of that year; or
162
Terms and Conditions of the Notes
(ii)
in the case of Notes where the Accrual Period is longer than the Determination
Period during which the Accrual Period ends, the sum of:
(A)
the number of days in such Accrual Period falling in the Determination
Period in which the Accrual Period begins divided by the product of (x)
the number of days in such Determination Period and (y) the number of
Determination Dates (as specified in the applicable Final Terms) that
would occur in one calendar year assuming interest were payable in
respect of the whole of that year; and
(B)
the number of days in such Accrual Period falling in the next
Determination Period divided by the product of (x) the number of days in
such Determination Period and (y) the number of Determination Dates
(as specified in the applicable Final Terms) that would occur in one
calendar year assuming interest were payable in respect of the whole of
that year;
(b)
if "Actual/Actual (ISDA)" or "Actual/Actual" is specified in the applicable Final
Terms, the actual number of days in the Interest Period divided by 365 (or, if any
portion of that Interest Period falls in a leap year, the sum of (1) the actual number of
days in that portion of the Interest Period falling in a leap year divided by 366 and (2)
the actual number of days in that portion of the Interest Period falling in a non-leap
year divided by 365);
(c)
if "Actual/365 (Fixed)" is specified in the applicable Final Terms, the actual number of
days in the Interest Period divided by 365;
(d)
if "Actual/365 (Sterling)" is specified in the applicable Final Terms, the actual number
of days in the Interest Period divided by 365 or, in the case of an Interest Payment Date
falling in a leap year, 366;
(e)
if "Actual/360" is specified in the applicable Final Terms, the actual number of days in
the Interest Period divided by 360;
(f)
if "30/360 (ICMA)" is specified in the applicable Final Terms, the number of days in
the period from (and including) the most recent Interest Payment Date (or, if none, the
Interest Commencement Date) to (but excluding) the relevant payment date (such
number of days being calculated on the basis of a year of 360 days with 12 30-day
months) divided by 360;
(g)
if "30/360", "360/360" or "Bond Basis" is specified in the applicable Final Terms, the
number of days in the Interest Period divided by 360, calculated on a formula basis as
follows:
 360 x  Y  Y   30 x M  M   D  D  

1
2
1
2
1

 2


Day Count Fraction = 
360




where:
"Y1" is the year, expressed as a number, in which the first day of the Interest Period
falls;
"Y2" is the year, expressed as a number, in which the day immediately following the
last day of the Interest Period falls;
"M1" is the calendar month, expressed as a number, in which the first day of the
Interest Period falls;
"M2" is the calendar month, expressed as a number, in which the day immediately
following the last day of the Interest Period falls;
163
Terms and Conditions of the Notes
"D1" is the first calendar day, expressed as a number, of the Interest Period, unless such
number is 31, in which case D1 will be 30; and
"D2" is the calendar day, expressed as a number, immediately following the last day
included in the Interest Period, unless such number would be 31 and D1 is greater than
29, in which case D2 will be 30;
(h)
if "30E/360" or "Eurobond Basis" is specified in the applicable Final Terms, the
number of days in the Interest Period divided by 360, calculated on a formula basis as
follows:


 360x Y2  Y1  30x M2  M1   D2  D1  

Day Count Fraction = 
360


where:
"Y1" is the year, expressed as a number, in which the first day of the Interest Period
falls;
"Y2" is the year, expressed as a number, in which the day immediately following the
last day of the Interest Period falls;
"M1" is the calendar month, expressed as a number, in which the first day of the
Interest Period falls;
"M2" is the calendar month, expressed as a number, in which the day immediately
following the last day of the Interest Period falls;
"D1" is the first calendar day, expressed as a number, of the Interest Period, unless such
number would be 31, in which case D1 will be 30; and
"D2" is the calendar day, expressed as a number, immediately following the last day
included in the Interest Period, unless such number would be 31, in which case D2 will
be 30; or
(i)
if "30E/360 (ISDA)" is specified in the applicable Final Terms, the number of days in
the Interest Period divided by 360, calculated on a formula basis as follows:


 360x Y2  Y1  30x M2  M1   D2  D1  

Day Count Fraction = 
360


where:
"Y1" is the year, expressed as a number, in which the first day of the Interest Period
falls;
"Y2" is the year, expressed as a number, in which the day immediately following the
last day of the Interest Period falls;
"M1" is the calendar month, expressed as a number, in which the first day of the
Interest Period falls;
"M2" is the calendar month, expressed as a number, in which the day immediately
following the last day of the Interest Period falls;
"D1" is the first calendar day, expressed as a number, of the Interest Period, unless (i)
that day is the last day of February or (ii) such number would be 31, in which case D1
will be 30; and
164
Terms and Conditions of the Notes
"D2" is the calendar day, expressed as a number, immediately following the last day
included in the Interest Period, unless (i) that day is the last day of February but not the
Maturity Date or (ii) such number would be 31, in which case D2 will be 30.
In these Terms and Conditions:
"Determination Period" means each period from (and including) a Determination Date to
(but excluding) the next Determination Date (including, where either the Interest
Commencement Date or the final Interest Payment Date is not a Determination Date, the
period commencing on the first Determination Date prior to, and ending on the first
Determination Date falling after, such date); and
"sub-unit" means, with respect to any currency other than euro and U.S. Dollars, the lowest
amount of such currency that is available as legal tender in the country of such currency and,
with respect to euro and U.S. Dollars, one cent.
(B)
Interest on Fixed Rate Notes
Except as provided in the applicable Final Terms, each Fixed Rate Note bears interest on its
outstanding principal amount from (and including) the Interest Commencement Date at the
rate(s) per annum equal to the Rate(s) of Interest. Interest will be payable in arrear on the
Interest Payment Date(s) in each year up to (and including) the Maturity Date.
Except as provided in the applicable Final Terms, if a Fixed Coupon Amount is specified in
the applicable Final Terms, the amount of interest payable in respect of each Note on each
Interest Payment Date in respect of the Fixed Interest Period ending on (but excluding) such
date will amount to the Fixed Coupon Amount as specified irrespective of any calculation
based on the applicable Rate of Interest and any applicable Day Count Fraction (if any).
Payments of interest on any Interest Payment Date will, if so specified in the applicable Final
Terms, amount to the Broken Amount so specified.
If "Unadjusted" is specified in the applicable Final Terms with respect to any Interest
Payment Date, any Interest Payment Date falling on a day which is not a Business Day will
not be adjusted in accordance with any Business Day Convention, and the relevant Fixed
Interest Period (as defined below) will accordingly not be adjusted. In such event, payment of
any amounts will be made in accordance with the provisions of Condition 6(D) (Payments Payment Days).
If "Adjusted" is specified in the applicable Final Terms with respect to any Interest Payment
Date, any Interest Payment Date falling on a day which is not a Business Day will be adjusted
in accordance with the Business Day Convention specified in the applicable Final Terms, and
the relevant Fixed Interest Period will be adjusted accordingly. For these purposes, the
provisions of Condition 5(C)(a) below relating to Business Day Conventions shall apply
mutatis mutandis where "Business Day" has the meaning assigned to it in Condition 18
(Business Days).
As used in these Terms and Conditions, "Fixed Interest Period" means the period from (and
including) an Interest Payment Date (or the Interest Commencement Date) to (but excluding)
the next (or first) Interest Payment Date.
Except in the case of Notes where an applicable Fixed Coupon Amount or Broken Amount is
specified in the applicable Final Terms, interest shall be calculated in respect of any period by
applying the Rate of Interest to:
(i)
in the case of Fixed Rate Notes which are represented by a Global Note, the aggregate
outstanding nominal amount of the Fixed Rate Notes represented by such Global Note
or, if they are Partly Paid Notes, the aggregate amount paid up; or
(ii)
in the case of Fixed Rate Notes in definitive form, the Calculation Amount;
and, in each case, multiplying such product by the applicable Day Count Fraction, and
rounding the resultant figure to the nearest sub-unit of the relevant Specified Currency, half of
165
Terms and Conditions of the Notes
any such sub-unit being rounded upwards or otherwise in accordance with applicable market
convention. Where the Specified Denomination of a Fixed Rate Note in definitive form is a
multiple of the Calculation Amount, the amount of interest payable in respect of such Fixed
Rate Note shall be the product of the amount (determined in the manner provided above) for
the Calculation Amount and the amount by which the Calculation Amount is multiplied to
reach the Specified Denomination, without any further rounding.
(C)
Interest on Floating Rate Notes, Index Linked Interest Notes, Share Linked Interest Notes,
GDR/ADR Linked Interest Notes, FX Linked Interest Notes, Commodity Linked Interest Notes,
Fund Linked Interest Notes and Inflation Linked Interest Notes
(a)
Interest Payment Dates
Each Floating Rate Note, Index Linked Interest Note, Share Linked Interest Note,
GDR/ADR Linked Interest Note, FX Linked Interest Note, Commodity Linked Interest
Note, Fund Linked Interest Note and Inflation Linked Interest Note bears interest on its
outstanding nominal amount (or, if it is a Partly Paid Note, the amount paid up) from
(and including) the Interest Commencement Date and such interest will be payable in
arrear on either:
(i)
the Specified Interest Payment Date(s) in each year specified in the applicable
Final Terms; or
(ii)
if no Specified Interest Payment Date(s) is/are specified in the applicable Final
Terms, each date (each such date, together with each Specified Interest Payment
Date, an "Interest Payment Date") which falls the number of months or other
period specified as the Specified Period in the applicable Final Terms after the
preceding Interest Payment Date or, in the case of the first Interest Payment
Date, after the Interest Commencement Date.
Such interest will be payable in respect of each "Interest Period" (which expression
shall, in these Terms and Conditions, mean the period from (and including) an Interest
Payment Date (or the Interest Commencement Date) to (but excluding) the next (or
first) Interest Payment Date).
If "Unadjusted" is specified in the applicable Final Terms with respect to any Interest
Payment Date, and such Interest Payment Date is not a Business Day, then such
Interest Payment Date will not be adjusted in accordance with any Business Day
Convention, and the relevant Interest Period will accordingly not be adjusted. In such
event, payment of any amounts will be made in accordance with the provisions of
Condition 6(D) (Payments - Payment Days).
If (x) there is no numerically corresponding day in the calendar month in which an
Interest Payment Date should occur or (y) "Adjusted" is specified in the applicable
Final Terms with respect to any Interest Payment Date and such Interest Payment Date
falls on a day which is not a Business Day, then, if the Business Day Convention
specified is:
(1)
in any case where Specified Periods are specified in accordance with Condition
5(C)(a)(ii) above, the Floating Rate Convention, such Interest Payment Date (i)
in the case of (x) above, shall be the last day that is a Business Day in the
relevant month and the provisions of (B) shall apply mutatis mutandis or (ii) in
the case of (y) above, shall be postponed to the next day which is a Business
Day unless it would thereby fall into the next calendar month, in which event
(A) such Interest Payment Date shall be brought forward to the immediately
preceding Business Day and (B) each subsequent Interest Payment Date shall be
the last Business Day in the month which falls the Specified Period after the
preceding applicable Interest Payment Date occurred; or
(2)
the Following Business Day Convention, such Interest Payment Date shall be
postponed to the next day which is a Business Day; or
166
Terms and Conditions of the Notes
(3)
the Modified Following Business Day Convention, such Interest Payment Date
shall be postponed to the next day which is a Business Day unless it would
thereby fall into the next calendar month, in which event such Interest Payment
Date shall be brought forward to the immediately preceding Business Day; or
(4)
the Preceding Business Day Convention, such Interest Payment Date shall be
brought forward to the immediately preceding Business Day,
where "Business Day" has the meaning assigned to it in Condition 18 (Business Days).
(b)
Rate of Interest
The Rate of Interest payable from time to time in respect of Floating Rate Notes, Index
Linked Interest Notes, Share Linked Interest Notes, GDR/ADR Linked Interest Notes,
FX Linked Interest Notes, Commodity Linked Interest Notes, Fund Linked Interest
Notes and Inflation Linked Interest Notes will be determined in the manner specified in
the applicable Final Terms.
(i)
ISDA Determination for Floating Rate Notes
Where ISDA Determination is specified in the applicable Final Terms as the
manner in which the Rate of Interest is to be determined, the Rate of Interest for
each Interest Period will be the relevant ISDA Rate plus or minus (as indicated
in the applicable Final Terms) the Margin (if any). For the purposes of this sub
paragraph (i), "ISDA Rate" for an Interest Period means a rate equal to the
Floating Rate that would be determined by the Principal Paying Agent or the
Calculation Agent under an interest rate swap transaction if the Principal Paying
Agent or the Calculation Agent were acting as Calculation Agent for that swap
transaction under the terms of an agreement incorporating the 2006 ISDA
Definitions, as published by the International Swaps and Derivatives
Association, Inc. and as amended, updated or replaced as at the Issue Date of the
first Tranche of the Notes of the relevant Series (the "ISDA Definitions") and
under which:
(A)
the Floating Rate Option is as specified in the applicable Final Terms;
(B)
the relevant Interest Commencement Date is the Effective Date;
(C)
the Designated Maturity is a period specified in the applicable Final
Terms; and
(D)
the relevant Reset Date is either (i) if the applicable Floating Rate Option
is based on the London interbank offered rate ("LIBOR") or on the Eurozone interbank offered rate ("EURIBOR"), the first day of that Interest
Period or (ii) in any other case, as specified in the applicable Final
Terms.
For the purposes of this sub-paragraph (i), "Floating Rate", "Calculation
Agent", "Floating Rate Option", "Effective Date", "Designated Maturity"
and "Reset Date" have the meanings given to those terms in the ISDA
Definitions.
Unless otherwise stated in the applicable Final Terms, the Minimum Interest
Rate shall be deemed to be zero.
(ii)
Screen Rate Determination for Floating Rate Notes
Where Screen Rate Determination is specified in the applicable Final Terms as
the manner in which the Rate of Interest is to be determined, the Rate of Interest
for each Interest Period will be, subject as provided below, either:
167
Terms and Conditions of the Notes
(A)
the offered quotation (if there is only one quotation on the relevant screen
page specified in the applicable Final Terms); or
(B)
the arithmetic mean (rounded if necessary to the fifth decimal place, with
0.000005 being rounded upwards) of the offered quotations (if there are
two or more quotations on the relevant screen page specified in the
applicable Final Terms),
(in each case expressed as a percentage rate per annum) for the Reference
Rate(s) which appears or appear, as the case may be, on the Relevant Screen
Page as at 11.00 a.m. (London time, in the case of LIBOR, or Brussels time, in
the case of EURIBOR) (the "Specified Time") on the applicable Interest
Determination Date plus or minus (as indicated in the applicable Final Terms)
the Margin (if any), all as determined by the Calculation Agent.
In the case of a rate determined pursuant to paragraph (B) above, if five or more
of such offered quotations are available on the Relevant Screen Page, the
highest (or, if there is more than one such highest quotation, one only of such
quotations) and the lowest (or, if there is more than one such lowest quotation,
one only of such quotations) shall be disregarded by the Calculation Agent for
the purpose of determining the arithmetic mean (rounded as provided above) of
such offered quotations.
If the Relevant Screen Page is not available or if, in the case of paragraph (A)
above, no offered quotation appears or, in the case of paragraph (B) above,
fewer than three offered quotations appear, in each case as at the Specified
Time, the Calculation Agent shall request each of the Reference Banks to
provide the Calculation Agent with its offered quotation (expressed as a
percentage rate per annum) for the Reference Rate at approximately the
Specified Time on the Interest Determination Date in question. If two or more
of the Reference Banks provide the Calculation Agent with offered quotations,
the Rate of Interest for the Interest Period shall be the arithmetic mean (rounded
if necessary to the fifth decimal place, with 0.000005 being rounded upwards)
of the offered quotations plus or minus (as appropriate) the Margin (if any), all
as determined by the Calculation Agent.
If on any Interest Determination Date one only or none of the Reference Banks
provides the Calculation Agent with an offered quotation as provided in the
preceding paragraph, the Rate of Interest for the relevant Interest Period shall be
the rate per annum which the Calculation Agent determines as being the
arithmetic mean (rounded if necessary to the fifth decimal place, with 0.000005
being rounded upwards) of the rates, as communicated to (and at the request of)
the Calculation Agent by any two or more of the Reference Banks, at which
such banks were offered, at approximately the Specified Time on the relevant
Interest Determination Date, deposits in the Specified Currency for a period
equal to that which would have been used for the Reference Rate by leading
banks in the London inter-bank market (if the Reference Rate is LIBOR) or the
Euro-zone inter-bank market (if the Reference Rate is EURIBOR), plus or
minus (as appropriate) the Margin (if any). If fewer than two of the Reference
Banks provide the Calculation Agent with offered rates, the offered rate for
deposits in the Specified Currency for a period equal to that which would have
been used for the Reference Rate, or the arithmetic mean (rounded as provided
above) of the offered rates for deposits in the Specified Currency for a period
equal to that which would have been used for the Reference Rate, at which, at
approximately the Specified Time on the relevant Interest Determination Date,
any one or more banks (which bank or banks is or are in the opinion of the
Calculation Agent suitable for the purpose) informs the Calculation Agent it is
quoting to leading banks in the London inter-bank market (if the Reference Rate
is LIBOR) or the Euro-zone inter-bank market (if the Reference Rate is
EURIBOR), plus or minus (as appropriate) the Margin (if any), provided that, if
the Rate of Interest cannot be determined in accordance with the foregoing
168
Terms and Conditions of the Notes
provisions of this paragraph, the Rate of Interest for the relevant Interest Period
shall be determined by the Calculation Agent in good faith and in a
commercially reasonable manner.
If the Reference Rate from time to time in respect of Floating Rate Notes is
specified in the applicable Final Terms as being other than LIBOR or
EURIBOR, the Rate of Interest in respect of such Notes will be determined as
provided in the applicable Final Terms.
For the purposes of this sub-paragraph (ii) "Reference Banks" means, in the
case of a determination of LIBOR, the principal London offices of four major
banks in the London inter-bank market and, in the case of a determination of
EURIBOR, the principal Euro-zone offices of four major banks in the Eurozone inter-bank market, in each case selected by the Calculation Agent or as
specified in the applicable Final Terms.
(c)
Minimum or Maximum Rate of Interest
If the applicable Final Terms specifies a minimum rate at which the Notes bear interest
(a "Minimum Interest Rate") or a maximum rate at which the Notes bear interest (a
"Maximum Interest Rate"), then the Rate of Interest shall in no event be greater than
the Maximum Interest Rate or be less than the Minimum Interest Rate so specified.
(d)
Determination of Rate of Interest and Calculation of Interest Amounts
The Calculation Agent, in the case of Floating Rate Notes, Index Linked Interest Notes,
Share Linked Interest Notes, GDR/ADR Linked Interest Notes, FX Linked Interest
Notes, Commodity Linked Interest Notes, Fund Linked Interest Notes and Inflation
Linked Interest Notes, will, at or as soon as practicable after each time at which the
Rate of Interest is to be determined, determine the Rate of Interest for the relevant
Interest Period. In the case of Floating Rate Notes, Index Linked Interest Notes, Share
Linked Interest Notes, GDR/ADR Linked Interest Notes, FX Linked Interest Notes,
Commodity Linked Interest Notes, Fund Linked Interest Notes and Inflation Linked
Interest Notes, the Calculation Agent will notify the Principal Paying Agent of the Rate
of Interest for the relevant Interest Period as soon as practicable after calculating the
same.
The Calculation Agent, in the case of Floating Rate Notes, Index Linked Interest Notes,
Share Linked Interest Notes, GDR/ADR Linked Interest Notes, FX Linked Interest
Notes, Commodity Linked Interest Notes, Fund Linked Interest Notes and Inflation
Linked Interest Notes, will calculate the amount of interest (the "Interest Amount")
payable on the Notes for the relevant Interest Period by applying the Rate of Interest to:
(i)
in the case of Floating Rate Notes, Index Linked Interest Notes, Share Linked
Interest Notes, GDR/ADR Linked Interest Notes, FX Linked Interest Notes,
Commodity Linked Interest Notes, Fund Linked Interest Notes or Inflation
Linked Interest Notes which are represented by a Global Note, the aggregate
outstanding nominal amount of the Notes represented by such Global Note (or,
if they are Partly Paid Notes, the aggregate amount paid up); or
(ii)
in the case of Floating Rate Notes, Index Linked Interest Notes, Share Linked
Interest Notes, GDR/ADR Linked Interest Notes, FX Linked Interest Notes,
Commodity Linked Interest Notes, Fund Linked Interest Notes or Inflation
Linked Interest Notes in definitive form, the Calculation Amount,
and, in each case, multiplying such product by the applicable Day Count Fraction, and
rounding the resultant figure to the nearest sub-unit of the relevant Specified Currency,
half of any such sub-unit being rounded upwards or otherwise in accordance with
applicable market convention. Where the Specified Denomination of a Floating Rate
Note, Index Linked Interest Note, Share Linked Interest Note, GDR/ADR Linked
Interest Note, FX Linked Interest Note, Commodity Linked Interest Note, Fund Linked
Interest Note or Inflation Linked Interest Note in definitive form is a multiple of the
169
Terms and Conditions of the Notes
Calculation Amount, the Interest Amount payable in respect of such Note shall be the
product of the amount (determined in the manner provided above) for the Calculation
Amount and the amount by which the Calculation Amount is multiplied to reach the
Specified Denomination, without any further rounding. In such case, the Calculation
Agent will notify the Principal Paying Agent of the Interest Amount for the relevant
Interest Period as soon as practicable after calculating the same.
(e)
Notification of Rate of Interest and Interest Amounts
The Principal Paying Agent and/or the Calculation Agent will cause the Rate of Interest
and each Interest Amount for each Interest Period and the relevant Interest Payment
Date to be notified to the Issuer and any stock exchange on which the relevant Floating
Rate Notes, Index Linked Interest Notes, Share Linked Interest Notes, GDR/ADR
Linked Interest Notes, FX Linked Interest Notes, Commodity Linked Interest Notes,
Fund Linked Interest Notes or Inflation Linked Interest Notes are for the time being
listed (by no later than the first day of each Interest Period, in the case of Floating Rate
Notes) and notice thereof to be published in accordance with Condition 14 (Notices) as
soon as possible after their determination but in no event later than the fourth London
Business Day thereafter. Each Interest Amount and Interest Payment Date so notified
may subsequently be amended (or appropriate alternative arrangements made by way
of adjustment) without prior notice in the event of an extension or shortening of the
Interest Period. Any such amendment will be promptly notified to each stock exchange
on which the relevant Floating Rate Notes, Index Linked Interest Notes, Share Linked
Interest Notes, GDR/ADR Linked Interest Notes, FX Linked Interest Notes,
Commodity Linked Interest Notes, Fund Linked Interest Notes or Inflation Linked
Interest Notes are for the time being listed and to the Noteholders in accordance with
Condition 14 (Notices). For the purposes of this paragraph (e), the expression
"London Business Day" means a day (other than a Saturday or a Sunday) on which
banks and foreign exchange markets are open for general business in London.
(f)
Certificates to be final
All certificates, communications, opinions, determinations, calculations, quotations and
decisions given, expressed, made or obtained for the purposes of the provisions of this
Condition 5(C), whether by the Principal Paying Agent or, if applicable, the
Calculation Agent, shall (in the absence of wilful default, bad faith, manifest error or
proven error) be binding on the Issuer, the Guarantor (in the case of Notes issued by
MLBV), the Principal Paying Agent, the Calculation Agent (if applicable), the other
Paying Agents, the Registrar and all Noteholders and (in the absence of wilful default
or bad faith) no liability to the Issuer, the Guarantor (in the case of Notes issued by
MLBV) or the Noteholders shall attach to the Principal Paying Agent or the
Calculation Agent (if applicable) in connection with the exercise or non-exercise by it
of its powers, duties and discretions pursuant to such provisions.
(D)
Interest on Partly Paid Notes
In the case of Partly Paid Notes (other than Partly Paid Notes which are Zero Coupon Notes),
interest will accrue as aforesaid on the paid-up nominal amount of such Notes and otherwise
as specified in the applicable Final Terms.
(E)
Accrual of interest
Each Note (or in the case of the redemption of part only of a Note, that part only of such Note)
will cease to bear interest (if any) from the date of its redemption unless, upon due
presentation thereof, payment of principal is improperly withheld or refused. In such event,
interest will continue to accrue until whichever is the earlier of:
(a)
the date on which all amounts due in respect of such Note have been paid and/or all
assets deliverable in respect of such Note have been delivered; and
(b)
five calendar days after the date on which the full amount of the moneys payable in
respect of such Note has been received by the Principal Paying Agent and/or all assets
170
Terms and Conditions of the Notes
in respect of such Note have been received by any agent appointed by the Issuer to
deliver such assets to Noteholders and notice to that effect has been given to the
Noteholders in accordance with Condition 14 (Notices),
provided that if:
(F)
(c)
"Accrual of Interest upon Credit Event" is specified as Not Applicable in the applicable
Final Terms, each Note shall cease to bear interest from the Interest Payment Date
immediately preceding the Event Determination Date, or if the Event Determination
Date is an Interest Payment Date such Interest Payment Date (or, in the case of the
Event Determination Date falling on or after the Scheduled Maturity Date (which is an
Interest Payment Date), the Interest Payment Date immediately preceding the
Scheduled Maturity Date) or, if the Event Determination Date falls prior to the first
Interest Payment Date, no interest shall accrue on the Notes; or
(d)
"Accrual of Interest upon Credit Event" is specified as being Applicable in the
applicable Final Terms, each Note shall cease to bear interest from the Event
Determination Date.
Calculation of interest in respect of Swedish Notes
For the purposes of calculation of any amount of interest on Swedish Notes, the provisions in
this Condition 5 (Interest) shall be amended so that all periods shall consist of the period from
(but excluding) the first day of the relevant period up to (and including) the last day of the
relevant period.
6.
Payments
(A)
Method of Payment
Payments of principal, interest and any other amounts due on the Notes shall be paid to the
person shown on the Register on the Record Date. Payments in respect of each Note shall be
made in the relevant Specified Currency by cheque drawn on a bank in the principal financial
centre of the country of such Specified Currency and mailed to the Noteholder (or the first
named of joint holders) of such Note at its address appearing in the Register. Upon application
by the Noteholder to the specified office of the Principal Paying Agent before the Record
Date, such payment may be made by transfer to an account in the Specified Currency
maintained by the payee with a bank in the principal financial centre of the country of such
Specified Currency (or, if the Specified Currency is euro, any other account to which euro
may be credited or transferred).
Payments will be subject in all cases to any fiscal or other laws and regulations applicable
thereto in the place of payment, but without prejudice to the provisions of Condition 9
(Taxation).
Notwithstanding anything to the contrary in this Condition 6(A) (Payments – Method of
Payment), payments in CNY will be made solely by credit or transfer to a CNY account
maintained by the payee with a bank in the CNY Settlement Centre in accordance with
applicable laws, rules, regulations and guidelines.
(B)
Payments in respect of Swedish Notes and Finnish Notes
Payments of principal and/or interest in respect of Swedish Notes shall be made to the Holders
registered as such on the fifth business day (as defined by the then applicable Swedish CSD
Rules) before the due date for such payment, or such other business day falling closer to the
due date as then may be stipulated in the Swedish CSD Rules. Such day shall be the Record
Date in respect of the Notes in accordance with the Swedish CSD Rules. Payments will be
subject in all cases to any fiscal or other laws and regulations applicable thereto in the place of
payment and will be made in accordance with the Swedish CSD Rules. All such payments
will be made outside of the United States.
171
Terms and Conditions of the Notes
Payments of principal and/or interest in respect of Finnish Notes shall be made to the Holders
registered as such on the business day (as defined by the then applicable Euroclear Finland
Rules) before the due date for such payment. Such day shall be the Record Date in respect of
the Notes in accordance with the Euroclear Finland Rules. Payments will be subject in all
cases to any fiscal or other laws and regulations applicable thereto in the place of payment and
will be made in accordance with the Euroclear Finland Rules. All such payments will be
made outside of the United States.
(C)
Payments in respect of Registered Notes
(a)
Payments in respect of Definitive Registered Notes
Payments of principal, instalments of principal (if any) and interest in respect of
Definitive Registered Notes will be made in the manner provided in paragraph (A)
above to the person shown in the Register on the Record Date.
(b)
Payments in respect of Global Notes
All payments in respect of a Global Note will be made in the manner provided in
paragraph (A) above to the person shown in the Register on the Record Date.
(D)
Payment Day
If the date for payment of any amount in respect of any Note is not a Payment Day, the Holder
thereof shall not be entitled to payment of the amount due until (i) if "Following" is specified
in the applicable Final Terms, the next following Payment Day or (ii) if "Modified Following"
is specified in the applicable Final Terms, the next following Payment Day unless that
Payment Day falls in the next calendar month, in which case the first preceding Payment Day,
in the relevant place and shall not be entitled to further interest or other payment in respect of
such delay or amendment. For these purposes, "Payment Day" means any day (other than a
Saturday or Sunday) on which commercial banks and foreign exchange markets settle
payments and are open for general business (including dealing in foreign exchanges and
foreign currency deposits) in:
(E)
(a)
the principal financial centre of the country of the relevant Specified Currency (or (A)
in the case of an amount payable in euro, a day on which the Trans-European
Automated Real-time Gross settlement Express Transfer (TARGET2) system or any
successor thereto (the "TARGET2 System") is operating or (B) in the case of an
amount payable in CNY, a day on which commercial banks and foreign exchange
markets settle payments and are open for general business (including dealing in
foreign exchange and foreign currency deposits) in the CNY Settlement Centre);
(b)
each Additional Financial Centre specified in the applicable Final Terms, provided
that if the Additional Financial Centre is specified in the applicable Final Terms to be
or to include "TARGET", then Payment Day shall also be a day on which the
TARGET2 System is operating; and
(c)
London and (in the case of Notes issued by BAC) New York City.
Interpretation of principal and interest
Any reference in these Terms and Conditions to principal in respect of the Notes shall be
deemed to include, as applicable:
(a)
any Additional Amounts which may be payable with respect to principal under
Condition 9 (Taxation);
(b)
the Final Redemption Amount of the Notes;
(c)
the Early Redemption Amount of the Notes
(d)
the Optional Redemption Amount(s) (if any) of the Notes;
172
Terms and Conditions of the Notes
(e)
the Failure to Deliver Settlement Price (if any) in respect of the Notes;
(f)
the Disruption Cash Settlement Price (if any) in respect of the Notes;
(g)
the Credit Event Redemption Amount (if any) in respect of the Notes;
(h)
the Partial Cash Settlement Amount (if any) in respect of the Notes;
(i)
in relation to Notes redeemable in instalments, the Instalment Amounts;
(j)
in relation to Zero Coupon Notes, the Amortised Face Amount (as defined in
Condition 7(G)(c)); and
(k)
any premium and any other amounts (other than interest) which may be payable by
the Issuer under or in respect of the Notes.
Any reference in these Terms and Conditions to interest in respect of the Notes shall be
deemed to include, as applicable, any Additional Amounts which may be payable with respect
to interest under Condition 9 (Taxation).
(F)
Definition of Affiliate
"Affiliate" means, in relation to any entity (the "First Entity"), any entity controlled, directly
or indirectly, by the First Entity, any entity that controls, directly or indirectly, the First Entity
or any entity directly or indirectly under common control with the First Entity. For these
purposes "control" means ownership of a majority of the voting power of an entity.
(G)
Payment Disruption
(a)
Occurrence of a Payment Disruption Event or a CNY Payment Disruption Event
If the applicable Final Terms specifies "Payment Disruption Event" or "CNY Payment
Disruption Event" to be applicable, then, in the event that the Calculation Agent, at any
time and from time to time, determines in its sole discretion that a Payment Disruption
Event or a CNY Payment Disruption Event, as the case may be, has occurred or is
likely to occur, then the Calculation Agent shall as soon as practicable notify the
Holders of the relevant Notes of the occurrence of such Payment Disruption Event or
CNY Payment Disruption Event, as the case may be, in accordance with Condition 14
(Notices).
(b)
Consequences of a Payment Disruption Event
Upon the occurrence of a Payment Disruption Event:
(i)
Extension of relevant dates
The Calculation Agent may extend the Interest Payment Date, the Maturity Date
or any other date on which the Notes may be redeemed or any amount shall be
due and payable in respect of the relevant Notes, subject to Condition 6(G)(e),
to a date falling five Business Days (or such other date as may be determined by
the Calculation Agent and notified to the Holders in accordance with Condition
14 (Notices)) after the date on which the Payment Disruption Event is no longer
occurring and notice thereof shall be given to the relevant Holders in accordance
with Condition 14 (Notices).
(ii)
Obligation to pay postponed
The Calculation Agent may postpone the Issuer's obligation to pay the Interest
Amount, Fixed Coupon Amount, Final Redemption Amount or any such other
amounts in respect of the relevant Notes, subject to Condition 6(G)(e), until five
Business Days (or such other date as may be determined by the Calculation
Agent and notified to the Holders in accordance with Condition 14 (Notices))
after the date on which the Payment Disruption Event is no longer occurring.
173
Terms and Conditions of the Notes
Noteholders shall not be entitled to further interest or other payment in respect
of such postponement.
(iii)
Issuer's option to vary settlement
Notwithstanding the Issuer's right to extend the dates for payments in
accordance with Condition 6(G)(b)(i) or postpone payment in accordance with
Condition 6(G)(b)(ii), as applicable, the Issuer may, if practicable (and to the
extent lawful), and at the Issuer's sole and absolute discretion:
(1)
make payments due to be made in the Subject Currency in the Base
Currency, converted from the Subject Currency into the Base Currency at a
rate reasonably selected by the Calculation Agent;
(2)
make payments due to be made in the Base Currency in the Subject
Currency, disregarding any obligation to convert amounts into the Base
Currency;
(3)
in the case of Share Linked Notes, deliver the Shares in lieu of cash
settlement; or
(4)
in the case of Share Linked Notes which reference a basket of Shares, elect
to satisfy in part its obligation to pay the amounts as may be due and
payable under the relevant Notes by making partial payment(s) or partial
deliveries, as the case may be (the "Partial Distributions"). Any Partial
Distribution made by the Issuer to the Holders will be calculated and/or
determined by the Calculation Agent in its sole and absolute discretion and
shall be paid and/or delivered to the Holders pro rata (as far as possible,
subject to any necessary adjustments for rounding) to the proportion of the
Notes of the same Series held by the relevant Holder. In the event that any
Partial Distribution is made by the Issuer, the Calculation Agent may, in its
sole and absolute discretion, make any such corresponding adjustment to
any variable relevant to the redemption or payment terms of the relevant
Notes as it deems necessary and shall notify the relevant Holders thereof in
accordance with Condition 14 (Notices).
Any payments or deliveries made in accordance with this Condition 6(G)(b)(iii)
shall satisfy and discharge in full (in the case of payments or deliveries made in
accordance with paragraphs (1) to (3)) and in part (in the case of Partial
Distributions made in accordance with paragraph (4)) the Issuer's obligation to
pay the Interest Amount, Fixed Coupon Amount, Final Redemption Amount or
other amount in respect of which the Payment Disruption Event has arisen, and
no further amounts shall be due and payable by the Issuer in respect thereof.
(c)
Consequences of a CNY Payment Disruption Event
Upon the occurrence of a CNY Payment Disruption Event:
(i)
Extension of relevant dates
If "Extension" is specified to be applicable in the applicable Final Terms, then
Condition 6(G)(b)(i) shall apply, provided that the reference therein to "Payment
Disruption Event" shall be construed as a reference to "CNY Payment
Disruption Event".
(ii)
Obligation to pay postponed
If "Payment Postponement" is specified to be applicable in the applicable Final
Terms, then Condition 6(G)(b)(ii) shall apply, provided that the reference
therein to "Payment Disruption Event" shall be construed as a reference to
"CNY Payment Disruption Event".
174
Terms and Conditions of the Notes
(iii)
Payment of Equivalent Amount
If "Payment of Equivalent Amount" is specified to be applicable in the
applicable Final Terms, and the Calculation Agent determines that such CNY
Payment Disruption Event is material in relation to the Issuer's obligations under
the relevant Notes to pay any Interest Amount, Fixed Coupon Amount, Final
Redemption Amount or other amount in respect of the relevant Notes on the
relevant Interest Payment Date, Maturity Date, or such other date on which any
amount in respect of the relevant Notes shall be due and payable (such date, the
"Affected Payment Date"), then the Issuer shall, on giving notice to Holders
prior to the relevant Affected Payment Date, make payment of the Equivalent
Amount of the relevant Interest Amount, Fixed Coupon Amount, Final
Redemption Amount or such other amount payable (if applicable) on the
relevant Affected Payment Date in full and final settlement of its obligations to
pay such Interest Amount, Fixed Coupon Amount, Final Redemption Amount
or other amount in respect of the relevant Notes.
(d)
Payments net of expenses
Notwithstanding any provisions to the contrary, (a) any payments made in accordance
with Condition 6(G)(b) or Condition 6(G)(c), as the case may be, shall be made after
deduction of any costs, expenses or liabilities incurred or to be incurred by the
Calculation Agent or Issuer in connection with or arising from the resolution of the
relevant Payment Disruption Event(s) or CNY Payment Disruption Event(s), as the
case may be, and (b) no interest shall be paid by the Issuer in respect of any delay
which may occur in the payment of any amounts due and payable under the Notes as a
result of the operation of Condition 6(G)(b) or Condition 6(G)(c), as the case may be.
(e)
Payment Event Cut-Off Date
In the event that a Payment Disruption Event or a CNY Payment Disruption Event, as
the case may be, is still occurring on the Payment Event Cut-Off Date, then the Interest
Payment Date, the Maturity Date, or any other date on which any Interest Amount,
Fixed Coupon Amount, Final Redemption Amount or other amount in respect of the
relevant Notes shall be due and payable (as the case may be) for the relevant Notes
shall be deemed to fall on the Payment Event Cut-Off Date. In such circumstances, the
Holder will not receive any amounts. Thereafter, the Issuer shall have no obligations
whatsoever under the Notes.
For the purposes of this Condition 6(G) (Payments – Payment Disruption):
"Base Currency" has the meaning given to it in "Annex 5 – Additional Terms and Conditions
for FX Linked Instruments";
"CNY" means Chinese Renminbi, the lawful currency of the People's Republic of China
(including any lawful successor currency to the CNY);
"CNY Payment Disruption Event" means the occurrence of any of the following events:
1.
an event that makes it impossible or impractical for the Issuer to convert any amounts
in CNY due in respect of the Notes in the general CNY foreign exchange market in the
relevant CNY Settlement Centre(s), other than where such impossibility or
impracticality is due solely to the failure of the Issuer to comply with any law, rule or
regulation enacted by any Governmental Authority (unless such law, rule or regulation
is enacted after the relevant Trade Date, and it is impossible or impractical for the
Issuer, due to an event beyond its control, to comply with such law, rule or regulation)
(a "CNY Inconvertibility Event");
2.
an event that makes it impossible or impractical for the Issuer to (i) deliver CNY
between accounts inside the relevant CNY Settlement Centre(s), or (ii) from an account
inside the relevant CNY Settlement Centre(s) to an account outside the relevant CNY
Settlement Centre(s) (including, if applicable, to another CNY Settlement Centre),
175
Terms and Conditions of the Notes
other than where such impossibility or impracticality is due solely to the failure of the
Issuer to comply with any law, rule or regulation enacted by any Governmental
Authority (unless such law, rule or regulation is enacted after the Trade Date and it is
impossible or impractical for the Issuer, due to an event beyond its control, to comply
with such law, rule or regulation) (a "CNY Non-Transferability Event"); and
3.
the general CNY foreign exchange market in the relevant CNY Settlement Centre
becomes illiquid as a result of which the Issuer cannot obtain sufficient CNY in order
to satisfy its payment obligations (in whole or in part) under the Notes (a "CNY NonAvailability Event");
"CNY Settlement Centre" means the financial centre(s) specified as such in the applicable
Final Terms;
"Equivalent Amount" means, in respect of the relevant Interest Amount, Fixed Coupon
Amount, Final Redemption Amount or other amount payable (if applicable) on the relevant
Affected Payment Date (for these purposes, the "Relevant Amount"), an amount in the Base
Currency determined by the Calculation Agent by converting the Relevant Amount into the
Base Currency using the Equivalent Amount Settlement Rate for the relevant Affected
Payment Date;
"Equivalent Amount Settlement Rate" means, unless otherwise specified in the applicable
Final Terms, in respect of any relevant day, the spot exchange rate on such day between CNY
and the Base Currency, determined by the Calculation Agent, taking into account all available
information which the Calculation Agent deems relevant (including, but not limited to, pricing
information obtained from the CNY non-deliverable market outside the People's Republic of
China and/or the CNY foreign exchange market in the People's Republic of China);
"Governmental Authority" means any de facto or de jure government (or any agency or
instrumentality thereof), court, tribunal, administrative or other governmental authority or any
other entity (private or public) charged with the regulation of the financial markets (including
the central bank) of the People's Republic of China, the Hong Kong Special Administrative
Region and any other CNY Settlement Centre;
"impractical" or "impracticality" means, in respect of any action to be taken by the Issuer,
that the Issuer and/or its Affiliates would incur a materially increased amount of taxes, duties,
expenses or fees (as compared with circumstances existing on the Trade Date) to perform such
action, or the Issuer and/or any Affiliates would be in breach of any law, rule, regulation,
guideline or internal policy of the Issuer and/or its Affiliates, if such action were to be
performed;
"Payment Disruption Event" means:
(i)
the occurrence of either (a) an Inconvertibility Event and/or (b) a Non-Transferability
Event (each as defined in "Annex 5 – Additional Terms and Conditions for FX Linked
Instruments");
(ii)
the imposition by the Subject Currency Jurisdiction (or any political or regulatory
authority thereof) of any capital controls, or the publication of any notice of an
intention to do so, which the Calculation Agent determines in good faith is likely
materially to affect the Notes, and notice thereof is given by the Issuer to the Holders in
accordance with Condition 14 (Notices); or
(iii)
the implementation by the Subject Currency Jurisdiction (or any political or regulatory
authority thereof) or the publication of any notice of an intention to implement any
changes to the laws or regulations relating to foreign investment in the Subject
Currency Jurisdiction (including, but not limited to, changes in tax laws and/or laws
relating to capital markets and corporate ownership), which the Calculation Agent
determines are likely to affect materially the Issuer's ability to hedge its obligations
under the Notes;
176
Terms and Conditions of the Notes
"Payment Event Cut-Off Date" means the date which is one year after the Maturity Date, or
as determined by the Calculation Agent acting in good faith and notified to Holders in
accordance with Condition 14 (Notices);
"Subject Currency" has the meaning given to it in "Annex 5 – Additional Terms and
Conditions for FX Linked Instruments";
"Subject Currency Jurisdiction" has the meaning given to it in "Annex 5 – Additional Terms
and Conditions for FX Linked Instruments".
7.
Redemption, Repayment and Repurchase
(A)
Redemption at Maturity
Unless previously redeemed or purchased and cancelled as provided below, each Note (other
than a Credit Linked Note) will be redeemed by the Issuer at its Final Redemption Amount
specified in, or determined in the manner specified in, the applicable Final Terms in the
relevant Specified Currency on the Maturity Date or, if the Notes are specified as Physical
Delivery Notes in the applicable Final Terms, by delivery of the Entitlement (subject as
provided in "Annex 10 – Additional Terms and Conditions for Physical Delivery Notes")
specified in, or determined in the manner specified in, the applicable Final Terms on the
Maturity Date.
(B)
Redemption for Tax Reasons
The Issuer may redeem the Notes, in whole, but not in part, at any time prior to maturity at
their Early Redemption Amount, together, if appropriate, with accrued interest to (but
excluding) the date fixed for redemption, if: (i) the Issuer or (in the case of Notes issued by
MLBV) the Guarantor shall determine that the Issuer would be required to pay Additional
Amounts, as provided in Condition 9 (Taxation), on the occasion of the next payment due with
respect to the Notes; (ii) any payment or deemed payment as determined for United States tax
purposes with respect to the Notes or with respect to a direct or indirect hedging arrangement
entered into by the Issuer or any of its Affiliates relating to the Notes may be treated as a
dividend or "dividend equivalent" for United States tax purposes (such event being a "U.S.
Withholding Tax Event"); or (iii) in the case of Notes issued by MLBV, on the occasion of
the next payment due in respect of the Notes, the Guarantor would be unable to procure the
Issuer to make payment and, in making such payment itself under the Guarantee, the
Guarantor would be required to pay Additional Amounts as provided in Condition 9
(Taxation).
Notice of intention to redeem Notes pursuant to this Condition 7(B) (Redemption and
Purchase – Redemption for Tax Reasons) will be given at least once in accordance with
Condition 14 (Notices) not less than 30 calendar days nor more than 60 calendar days prior to
the date fixed for redemption, provided that no such notice of redemption shall be given earlier
than 90 calendar days prior to the effective date of such change or amendment and that at the
time notice of such redemption is given, such obligation to pay such additional amounts
remains in effect and cannot be avoided by the Issuer's taking reasonable measures available
to it. From and after any redemption date, if monies for the redemption of Notes shall have
been made available for redemption on such redemption date, such Notes shall cease to bear
interest, if applicable, and the only right of the holders of such Notes shall be to receive
payment of the Early Redemption Amount and, if appropriate, all unpaid interest accrued to
such redemption date.
(C)
Redemption for Tax Compliance Reasons
MLBV may, at its option, redeem the Notes, in whole or in part, at any time prior to maturity,
at their Early Redemption Amount, together, if appropriate, with accrued interest to (but
excluding) the date fixed for redemption, if MLBV determines in good faith that it has, or
there is a substantial likelihood that it will, become subject to withholding imposed on a
payment made to it on account of MLBV's inability to comply with the reporting requirements
imposed by the FATCA Provisions (as defined below), provided that such inability to comply
with the reporting requirements is attributable to non-compliance by any Holder of such Notes
177
Terms and Conditions of the Notes
(or a foreign withholding agent (if any) in the chain of custody of payments made to the
Holders) with MLBV's requests for certifications or identifying information (such redemption,
a "Redemption for Tax Compliance Reasons"). Upon a Redemption for Tax Compliance
Reasons, Notes held by compliant Holders, in addition to those held by non-compliant
Holders, may be redeemed.
Notice of intention to redeem Notes pursuant to this Condition 7(C) will be given in
accordance with Condition 14 (Notices) not less than 30 calendar days nor more than 60
calendar days prior to the date fixed for redemption. From and after any redemption date, if
monies for the redemption of Notes shall have been made available for redemption on such
redemption date, such Notes shall cease to bear interest, if applicable, and the only right of the
holders of such Notes shall be to receive payment of the Early Redemption Amount and, if
appropriate, all unpaid interest accrued to such redemption date.
As used in these Terms and Conditions, the term "FATCA Provisions" means Section 1471
through 1474 of the Code (or any successor provisions), any regulation, pronouncement, or
agreement thereunder, official interpretations thereof, or any law implementing an
intergovernmental approach thereto whether currently in effect or as published and amended
from time to time.
(D)
Redemption at the Option of the Issuer (Issuer Call)
If Issuer Call is specified in the applicable Final Terms, the Issuer may, having given:
(a)
not less than 30 nor more than 60 calendar days' notice to the Noteholders in
accordance with Condition 14 (Notices) (or such other period as is specified in the
applicable Final Terms); and
(b)
not less than two London Business Days' notice (or such other period as is specified in
the applicable Final Terms) before the giving of the notice referred to in (a), notice to
the Principal Paying Agent,
(which notices shall be irrevocable and shall specify the date fixed for redemption), redeem all
or some only of the Notes then outstanding on any Optional Redemption Date and at the
Optional Redemption Amount(s) specified in, or determined in the manner specified in, the
applicable Final Terms together, if appropriate, with interest accrued to (but excluding) the
relevant Optional Redemption Date. Any such redemption must be of a nominal amount not
less than the Minimum Redemption Amount and/or not more than the Maximum Redemption
Amount in each case as may be specified in the applicable Final Terms. In the case of a
partial redemption of Notes, the Notes to be redeemed ("Redeemed Notes") will be selected
individually by lot, in the case of Redeemed Notes represented by Individual Note
Certificates, and in accordance with any applicable laws and the rules of Euroclear and/or
Clearstream, Luxembourg (to be reflected in the records of Euroclear and Clearstream,
Luxembourg as either a pool factor or a pro-rata reduction in nominal amount at their
discretion), in the case of Redeemed Notes represented by a Global Note, not more than 60
calendar days' prior to the date fixed for redemption (such date of selection being hereinafter
called the "Selection Date"). In the case of Redeemed Notes represented by Individual Note
Certificates, a list of the serial numbers of such Redeemed Notes will be published in
accordance with Condition 14 (Notices) not less than 30 calendar days prior to the date fixed
for redemption. No exchange of the relevant Global Note will be permitted during the period
from (and including) the Selection Date to (and including) the date fixed for redemption
pursuant to this paragraph (D) and notice to that effect shall be given by the Issuer to the
Noteholders in accordance with Condition 14 (Notices) at least five calendar days' prior to the
Selection Date.
(E)
Redemption at the Option of the Noteholders (Investor Put)
If Investor Put is specified in the applicable Final Terms, upon the Holder of any Note giving
to the Issuer in accordance with Condition 14 (Notices) not less than 30 nor more than 60
calendar days' notice (or such other notice period as is specified in the applicable Final Terms)
the Issuer will, upon the expiry of such notice, redeem, subject to, and in accordance with, the
178
Terms and Conditions of the Notes
terms specified in the applicable Final Terms, such Note on the Optional Redemption Date
and at the Optional Redemption Amount together, if appropriate, with interest accrued to (but
excluding) the Optional Redemption Date. It may be that before an Investor Put can be
exercised, certain conditions and/or circumstances will need to be satisfied. Where relevant,
the provisions detailing such conditions and/or circumstances to be satisfied will be set out in
the applicable Final Terms.
If the Note is represented by an Individual Note Certificate and held outside Euroclear and
Clearstream, Luxembourg, to exercise the right to require redemption of the Note the Holder
of the Note must deliver at the specified office of the Principal Paying Agent at any time
during normal business hours of the Principal Paying Agent falling within the notice period, a
duly signed and completed notice of exercise (a "Put Notice") in the form (for the time being
current) obtainable from the specified office of the Principal Paying Agent and in which the
Holder must specify a bank account (or, if payment is required by cheque, an address) to
which payment is to be made under this Condition 7 (Redemption and Purchase) accompanied
by the relevant Individual Note Certificate(s) or evidence satisfactory to the Principal Paying
Agent that the Individual Note Certificate(s) will, following delivery of the Put Notice, be held
to its order or under its control.
If the Note is represented by a Global Note or is in definitive form and held through Euroclear
or Clearstream, Luxembourg, to exercise the right to require redemption of the Note the
Holder of the Note must, within the notice period, give notice to the Principal Paying Agent of
such exercise in accordance with the standard procedures of Euroclear and Clearstream,
Luxembourg (which may include notice being given on its instruction by Euroclear or
Clearstream, Luxembourg or the Common Depositary or its nominee or common safekeeper,
as the case may be, for them to the Principal Paying Agent by electronic means) in a form
acceptable to Euroclear and Clearstream, Luxembourg from time to time and, if the Note is
represented by a Global Note, at the same time present or procure the presentation of the
relevant Global Note to the Principal Paying Agent for notation accordingly.
Any Put Notice or other notice given in accordance with the standard procedures of Euroclear
and Clearstream, Luxembourg given by a Holder of any Note pursuant to this paragraph (E)
shall be irrevocable except where, prior to the due date of redemption, an Event of Default has
occurred and is continuing in which event such Holder, at its option, may elect by notice to the
Issuer to withdraw the notice given pursuant to this paragraph (E) and instead to declare such
Note forthwith due and payable pursuant to Condition 11 (Events of Default).
(F)
Exercise of Options or Partial Redemption in respect of Definitive Registered Notes
See Condition 2(D) above for information about the issuance of new Individual Note
Certificates in the event of an exercise of an Issuer Call or Investor Put in respect of, or a
partial redemption of, a holding of Definitive Registered Notes.
(G)
Early Redemption Amounts
The Early Redemption Amount shall be calculated as follows:
(a)
in the case of a Note (other than a Zero Coupon Note, an Index Linked Note, a Share
Linked Note, a GDR/ADR Linked Note, an FX Linked Note, a Commodity Linked
Note, a Fund Linked Note, an Inflation Linked Note or a Credit Linked Note) with a
Final Redemption Amount equal to 100 per cent. of its outstanding nominal amount, at
the Final Redemption Amount thereof;
(b)
in the case of a Note other than those described in sub-paragraph (a) above or subparagraph (c) below, the Early Redemption Amount payable in respect of such Note
shall be the amount specified in, or determined in the manner specified in, the
applicable Final Terms or, if no such amount or manner is specified in the applicable
Final Terms, its nominal amount, provided that if "Market Value less Associated Costs
(no floor)" or "Market Value less Associated Costs (90 per cent. floor)" is specified in
the applicable Final Terms as the Early Redemption Amount, the Early Redemption
Amount in respect of each Note of the Specified Denomination shall be an amount
179
Terms and Conditions of the Notes
determined by the Calculation Agent which on (i) in the case of redemption other than
pursuant to Condition 11 (Events of Default), the second Business Day immediately
preceding the due date for the early redemption of such Note, or (ii) in the case of
redemption pursuant to Condition 11 (Events of Default), the due date for the early
redemption of such Note, represents the fair market value of such Note (taking into
account all factors which the Calculation Agent determines to be relevant) less
Associated Costs, and provided that no account shall be taken of the financial condition
of the Issuer which shall be presumed to be able to perform fully its obligations in
respect of the Notes and provided further that, if "Market Value less Associated Costs
(90 per cent. floor)" is specified in the applicable Final Terms as the Early Redemption
Amount, in no event shall the Early Redemption Amount of each Note (in the case of
an Instalment Note, when aggregated with the sum of any Instalment Amounts already
paid in respect of such Note) be less than 90 per cent. of the Specified Denomination of
such Note (or, in the case of a Partly Paid Note, 90 per cent. of the amount paid up in
respect of such Note, or, in the case of a Zero Coupon Note, 90 per cent. of the
Amortised Face Amount (as defined in sub-paragraph (c) below) of such Note); or
(c)
in the case of a Zero Coupon Note (other than an Index Linked Note, a Share Linked
Note, a GDR/ADR Linked Note, an FX Linked Note, a Commodity Linked Note, a
Fund Linked Note, an Inflation Linked Note or a Credit Linked Note), at an amount
(the "Amortised Face Amount") calculated in accordance with the following formula:
Early Redemption Amount = RP x (1 + AY)y
where:
"RP" means the Reference Price; and
"AY" means the Accrual Yield expressed as a decimal; and
"y" is a fraction the numerator of which is equal to the number of days (calculated on
the basis of a 360-day year consisting of 12 months of 30 days each) from (and
including) the Issue Date of the first Tranche of the Notes to (but excluding) the date
fixed for redemption or (as the case may be) the date upon which such Note becomes
due and repayable and the denominator of which is 360,
or on such other calculation basis as may be specified in the applicable Final Terms.
As used herein:
"Associated Costs" means, an amount per Note of the Specified Denomination equal to such
Notes' pro rata share of the total amount of any and all costs associated or incurred by the
Issuer or any Affiliate in connection with such early redemption, including, without limitation,
any costs associated with unwinding any funding relating to the Notes and any costs
associated with unwinding any hedge positions relating to the Notes, all as determined by the
Calculation Agent in its sole discretion.
(H)
Automatic Early Redemption Event
If Automatic Early Redemption is specified as applicable in the applicable Final Terms, then
unless previously redeemed or purchased and cancelled, if an Automatic Early Redemption
Event as specified in the applicable Final Terms occurs, the Issuer will give notice to
Noteholders in accordance with Condition 14 (Notices) and the Notes will be redeemed in
whole, but not in part, on the Automatic Early Redemption Date as specified in the applicable
Final Terms at the Automatic Early Redemption Amount as specified in the applicable Final
Terms.
(I)
Instalments
Instalment Notes will be redeemed in the Instalment Amounts and on the Instalment Dates. In
the case of early redemption, the Early Redemption Amount will be determined pursuant to
paragraph (G) above.
180
Terms and Conditions of the Notes
(J)
Partly Paid Notes
Partly Paid Notes will be redeemed, whether at maturity, early redemption or otherwise, in
accordance with the provisions of this Condition 7 (Redemption and Purchase) and the
applicable Final Terms.
(K)
Illegality
In the event that the Issuer determines in good faith that (i) the performance of the Issuer's
obligations under the Notes or that any arrangements made to hedge the Issuer's obligations
under the Notes or (ii) in the case of Notes issued by MLBV, the performance by the
Guarantor of any of its obligations under the Guarantee in respect of the Notes, has or will
become, in whole or in part, unlawful, illegal or otherwise contrary to any present or future
law, rule, regulation, judgment, order or directive of any governmental, administrative,
legislative, judicial or regulatory authority or powers, or any change in the interpretation
thereof that is applicable to the Issuer and/or the Guarantor, the Issuer may, at its discretion,
by giving, at any time, not less than 10 nor more than 30 calendar days' notice to Noteholders
in accordance with Condition 14 (Notices) (which notice shall be irrevocable), elect that such
Notes be redeemed, in whole but not in part, on the date specified by the Issuer, each Note
being redeemed at the Early Redemption Amount together (if appropriate) with interest
accrued to (but excluding) the date fixed for redemption.
(L)
Repurchases
The Issuer, the Guarantor (in the case of Notes issued by MLBV) or any of their affiliates may
purchase at any time and from time to time outstanding Notes by tender, in the open market or
by private agreement. Such Notes may be held, reissued, resold or, at the option of the Issuer
or (if applicable) the Guarantor, surrendered to any Paying Agent for cancellation.
(M)
Cancellation
All Notes which are redeemed will forthwith be cancelled. All Notes so cancelled and any
Notes purchased and cancelled pursuant to paragraph (L) above shall be forwarded to the
Principal Paying Agent and cannot be reissued or resold.
(N)
Late payment on Zero Coupon Notes
If the amount payable in respect of any Zero Coupon Note upon redemption of such Zero
Coupon Note pursuant to paragraphs (A), (B), (C), (D) or (E) above or upon its becoming due
and repayable as provided in Condition 11 (Events of Default) is improperly withheld or
refused, the amount due and repayable in respect of such Zero Coupon Note shall be the
amount calculated as provided in paragraph (G)(c) above as though the references therein to
the date fixed for the redemption or the date upon which such Zero Coupon Note becomes due
and payable were replaced by references to the date which is the earlier of:
(O)
(a)
the date on which all amounts due in respect of such Zero Coupon Note have been
paid; and
(b)
five calendar days after the date on which the full amount of the moneys payable in
respect of such Zero Coupon Notes has been received by the Principal Paying Agent
and notice to that effect has been given to the Noteholders in accordance with
Condition 14 (Notices).
Early redemption of Swedish Notes
In the event of a partial redemption of Swedish Notes pursuant to Condition 7(D) (Redemption
at the option of the Issuer (Issuer Call)) the notice to Holders shall specify the Notes or
amounts of the Notes to be redeemed or in respect of which such Issuer call option has been so
exercised, and the procedures for partial redemptions set out in the Swedish CSD Rules will
be observed. The notice shall also specify the closed period for the purposes of Condition
2(B) (Notes held in Euroclear, Clearstream, Luxembourg, the Swedish CSD and Euroclear
181
Terms and Conditions of the Notes
Finland)) and the Swedish Record Date for the purposes of Condition 6(B) (Payments in
respect of Swedish Notes and Finnish Notes).
In the event of an Investor Put in respect of Swedish Notes pursuant to Condition 7(E)
(Redemption at the option of the Noteholders (Investor Put)), a Put Notice in respect of
Swedish Notes will not take effect against the Issuer before the date on which the relevant
Swedish Notes have been transferred to the account designated by the Swedish Paying Agent
and blocked for further transfer by the Swedish Paying Agent (such date will be the first date
of a closed period for the purposes of Condition 2(B) (Notes held in Euroclear, Clearstream,
Luxembourg, the Swedish CSD and Euroclear Finland)). No Swedish Note so transferred or
blocked and option exercised may be withdrawn without the prior consent of the Issuer.
(P)
Early redemption of Finnish Notes
In the event of a partial redemption of Finnish Notes pursuant to Condition 7(D) (Redemption
at the option of the Issuer (Issuer Call)) the notice to Holders shall specify the Notes to be
redeemed or in respect of which such Issuer call option has been so exercised, and the
procedures for partial redemptions set out in the Euroclear Finland Rules will be observed.
The notice shall also specify the closed period for the purposes of Condition 2(B) (Notes held
in Euroclear, Clearstream, Luxembourg, the Swedish CSD and Euroclear Finland)) and the
Finnish Record Date for the purposes of Condition 6(B) (Payments in respect of Swedish
Notes and Finnish Notes).
In the event of an Investor Put in respect of Finnish Notes pursuant to Condition 7(E)
(Redemption at the option of the Noteholders (Investor Put)), a Put Notice in respect of
Finnish Notes will not take effect against the Issuer before the date on which the relevant
Finnish Notes have been transferred to the account designated by the Finnish Paying Agent
and blocked for further transfer by the Finnish Paying Agent (such date will be the first date of
a closed period for the purposes of Condition 2(B) (Notes held in Euroclear, Clearstream,
Luxembourg, the Swedish CSD and Euroclear Finland)). No Finnish Note so transferred or
blocked and option exercised may be withdrawn without the prior consent of the Issuer.
(Q)
Regulatory Approval
The redemption, repayment or repurchase of any Note issued by BAC that is long-term debt
satisfying certain eligibility criteria ("eligible LTD") under the final total loss-absorbing
capacity rules of the U.S. Board of Governors of the Federal Reserve System (the "Federal
Reserve Board") prior to its stated maturity date will require the prior approval of the Federal
Reserve Board if after such redemption, repayment or repurchase BAC would fail to satisfy its
requirements as to eligible LTD or total loss-absorbing capacity under such rules.
8.
Currency Substitution Event
In the event that the Issuer and the Calculation Agent, in their discretion, determine that any
Relevant Governmental Authority (as defined below) of a country, bloc of countries or other
applicable sovereign entity or entities (each, an "Applicable Jurisdiction") announces or in
any event effects (whether pursuant to legislation enacted for such purpose in the Applicable
Jurisdiction, in accordance with or in breach of applicable international treaties, or in any other
manner) or (based on any publicly available information which the Issuer and the Calculation
Agent reasonably consider relevant) there is a substantial likelihood that it will effect within
the next 90 days, the replacement of the lawful currency (the "Initial Currency") of an
Applicable Jurisdiction with a substitute currency ("Substitute Currency") (for the avoidance
of doubt, including circumstances in which a country (a "Departing Country") within a bloc
of countries in a currency union passes legislation (or a Relevant Governmental Authority
thereof announces that it will pass legislation or otherwise seeks) to effect or does effect the
withdrawal of such Departing Country from the currency bloc and the replacement of the
currency of the currency union with another currency as the official currency of the Departing
Country) (any such event being a "Currency Substitution Event"), and:
(a)
the calculation of amounts to be paid or assets to be delivered under any Note is linked
to one or more Reference Item(s), and the currency by which the Reference Item(s)
182
Terms and Conditions of the Notes
and/or any component(s) thereof is priced, quoted or traded is (or, in the Issuer's
reasonable opinion is likely to be), as a result of the Currency Substitution Event,
redenominated from the Initial Currency into the Substitute Currency; and/or
(b)
the calculation of amounts to be paid or assets to be delivered under any Note is linked
to one or more floating rates of interest based on or related to amounts denominated in
the Initial Currency; and/or
(c)
the Hedging Arrangements (as defined below) in respect of any Note have been
materially adversely affected by (A) the Currency Substitution Event and/or (B) capital
controls or other restrictions imposed by a Relevant Governmental Authority of the
Applicable Jurisdiction, and the Hedging Party (as defined below) is unable, after using
commercially reasonable efforts, to alter or modify the Hedging Arrangements and/or
establish alternate Hedging Arrangements to fully account for the material adverse
effect of (A) and/or (B) above,
then, unless otherwise provided in the applicable Final Terms, the Issuer and the Calculation
Agent may, in their discretion:
(x)
make such adjustments, as shall be notified to each Holder of the relevant Notes, to
the exercise, settlement, valuation, calculation, payment and/or any other Terms and
Conditions of the Note as the Issuer determines appropriate to (i) (in the case of (a) or
(b) above) preserve the economic terms of such Notes as of the Issue Date, including,
without limitation, making any currency conversion necessary as part of any such
adjustment based on the relevant official conversion rate or at an appropriate market
rate of exchange determined by the Calculation Agent to be prevailing as of any
relevant time and date, or (ii) (in the case of (c) above) account for the material
adverse effect on the Hedging Arrangements and in order to effect a commercially
reasonable result; or
(y)
redeem such Notes on such day as shall be notified to the relevant Holders at their
Early Redemption Amount, which amount shall be the Market Value less Associated
Costs (no floor) or the Market Value less Associated Costs (90 per cent. floor) as
provided in Condition 7(G) and as specified in the applicable Final Terms.
For the avoidance of doubt, the circumstances and consequences described in this Condition 8
(Currency Substitution Event) and any resulting or alternative adjustments to the exercise,
settlement, valuation, calculation, payment and/or any other Terms and Conditions of the
Notes will not entitle any Holder of such Notes (A) to any legal remedy, including, without
limitation, rescission, repudiation, or renegotiation of the Notes, or (B) to raise any defence or
make any claim (including, without limitation, claims of breach, force majeure, frustration of
purpose, or impracticability) or any other claim for compensation, damages, or any other
relief.
For the purposes of this Condition 8 (Currency Substitution Event):
"Hedging Arrangements" means any purchase, sale, entry into or maintenance of one or
more (a) positions or contracts in securities, options, futures, derivatives or foreign exchange
or (b) other instruments or arrangements (howsoever described) in order to hedge individually
or on a portfolio basis the Issuer's obligations under any Note.
"Hedging Party" means, the Issuer or any of the Issuer's affiliate(s) or any entity (or entities)
acting on the Issuer's behalf engaged in any underlying or hedging transactions relating to any
Note and/or underlying market measure(s) in respect of the Issuer's obligations under the
Note.
"Relevant Governmental Authority" means, in relation to any Applicable Jurisdiction, any
de facto or de jure government (or any agency or instrumentality thereof), court, tribunal,
administrative or other governmental authority or any other entity (private or public) charged
with the regulation of the financial markets (including the central bank) of such Applicable
Jurisdiction.
183
Terms and Conditions of the Notes
9.
Taxation
The Issuer or (in the case of Notes issued by MLBV) the Guarantor will, subject to certain
limitations and exceptions (set forth below), pay to a Noteholder who is a United States Alien
or (in the case of Notes issued by MLBV) a Netherlands Non-resident (each as defined below)
such additional amounts ("Additional Amounts") as may be necessary so that every net
payment of principal or interest or other amount with respect to the Notes or (in the case of
Notes issued by MLBV) the Guarantee after deduction or withholding for or on account of any
present or future tax, assessment or other governmental charge imposed upon such Noteholder
or by reason of the making of such payment, by the United States or The Netherlands (as
applicable) or any political subdivision or taxing authority of or in the United States or The
Netherlands (as applicable), as the case may be, will not be less than the amount provided for
in the Notes or the Guarantee (as applicable) to be then due and payable, as the case may be.
Neither the Issuer nor (in the case of Notes issued by MLBV) the Guarantor shall be required
to make any payment of Additional Amounts for or on account of:
(a)
any tax, assessment or other governmental charge which would not have been
imposed but for (i) the existence of any present or former connection between such
Noteholder (or between a fiduciary, settlor, beneficiary, member or shareholder of, or
possessor of a power over, such Noteholder if such Noteholder is an estate, trust,
partnership or corporation) and the United States or The Netherlands (as applicable),
as the case may be, including, without limitation, such Noteholder (or such fiduciary,
settlor, beneficiary, member, shareholder or possessor) being or having been a citizen
or resident or treated as a resident of the United States or The Netherlands (as
applicable), as the case may be, or being or having been present or engaged in a trade
or business in the United States or The Netherlands (as applicable), as the case may
be, or having or having had a permanent establishment in the United States or The
Netherlands (as applicable), as the case may be, or (ii) the presentation of a Note for
payment on a date more than 15 calendar days after the date on which such payment
became due and payable or the date on which payment thereof is duly provided for,
whichever occurs later;
(b)
any estate, inheritance, gift, sales, transfer, excise, wealth or personal property or any
similar tax, assessment or other governmental charge;
(c)
any tax, assessment or other governmental charge imposed by reason of such
Noteholder's past or present status as a personal holding company, foreign personal
holding company, passive foreign investment company, private foundation, or other
tax-exempt entity, or controlled foreign corporation for United States tax purposes or
a corporation which accumulates earnings to avoid United States federal income tax;
(d)
any tax, assessment or other governmental charge which is payable otherwise than by
withholding from payments of principal or interest or other amount with respect to
the Notes;
(e)
any tax, assessment or other governmental charge imposed as a result of such
Noteholder's past or present status as the actual or constructive owner of 10 per cent.
or more of the total combined voting power of all classes of stock of the Issuer
entitled to vote;
(f)
any tax, assessment or other governmental charge imposed as a result of such
Noteholder being a bank receiving payments on an extension of credit made pursuant
to a loan agreement entered into in the ordinary course of its trade or business;
(g)
any tax, assessment or other governmental charge which would not have been
imposed but for the failure to comply with certification, information or other
reporting requirements concerning the nationality, residence, identity or connection
with the United States or The Netherlands (as applicable), as the case may be, of the
Noteholder or of the beneficial owner of such Note, if such compliance is required by
statute or by Regulation of the U.S. Department of the Treasury or of the relevant
184
Terms and Conditions of the Notes
Netherlands authority (as applicable), as the case may be, as a precondition to relief
or exemption from such tax, assessment or other governmental charge;
(h)
any tax, assessment, or other government charge imposed on a payment of principal
or interest (or any other payment) on any Note which is an Index Linked Note, Share
Linked Note, GDR/ADR Linked Note, FX Linked Note, Commodity Linked Note,
Fund Linked Note, Inflation Linked Note, Credit Linked Note or Note linked to other
Reference Item(s) and in respect of which the holder may not receive at least 90 per
cent. of the Specified Denomination per Note (or, in the case of a Partly Paid Note,
90 per cent. of the amount paid up in respect of such Note or, in the case of a Zero
Coupon Note, 90 per cent. of the Amortised Face Amount of such Note), unless in
each case the applicable Final Terms specify that this paragraph (h) of Condition 9
(Taxation) shall not apply;
(i)
any tax, assessment, or governmental charge imposed solely because the payment is
to be made by a particular Paying Agent or a particular office of a Paying Agent and
would not be imposed if made by another agent or by another office of this agent;
(j)
any tax, assessment, or other governmental charge that is imposed or withheld by
reason of the application of Sections 1471 through 1474 of the Code (or any
successor provisions), any regulation, pronouncement, or agreement thereunder,
official interpretations thereof, or any law implementing an intergovernmental
approach thereto, whether currently in effect or as published and amended from time
to time;
(k)
any tax, assessment, or other governmental charge that is imposed or withheld by
reason of the payment being treated as a dividend or "dividend equivalent" for United
States tax purposes; or
(l)
any combination of paragraphs (a), (b), (c), (d), (e), (f), (g), (h), (i), (j) and (k) above,
nor shall additional amounts be paid to any United States Alien or Netherlands Non-resident
(as applicable), as the case may be, which is a fiduciary or partnership or other than the sole
beneficial owner of the Note to the extent a beneficiary or settlor with respect to such fiduciary
or a member of such partnership or a beneficial owner of the Note would not have been
entitled to payment of the additional amounts had such beneficiary, settlor, member or
beneficial owner been the holder of the Note.
The term "United States Alien" means any corporation, partnership, entity, individual, or
fiduciary that is for United States federal income tax purposes (1) a foreign corporation, (2) a
foreign partnership to the extent one or more of the members of which is, for United States
federal income tax purposes, a foreign corporation, a non-resident alien individual, or a
foreign estate or trust, (3) a non-resident alien individual, or (4) a foreign estate or trust.
The term "Netherlands Non-resident" means any individual, corporation, partnership or any
other entity that for Netherlands tax purposes is a non-resident individual, non-resident
corporation, non-resident partnership or any other non-resident entity.
10.
Prescription
The Notes will become void unless presented for payment within a period of ten years (in the
case of principal) and five years (in the case of interest) after the Relevant Date (as defined
below) therefor.
As used herein, the "Relevant Date" means the date on which such payment first becomes
due, except that, if the full amount of the moneys payable has not been duly received by the
Principal Paying Agent on or prior to such due date, it means the date on which, the full
amount of such moneys having been so received, notice to that effect is duly given to the
Noteholders in accordance with Condition 14 (Notices).
185
Terms and Conditions of the Notes
11.
Events of Default and Rights of Acceleration
(A)
Notes issued by MLBV
The occurrence of one or more of the following events with respect to any Series of Notes
issued by MLBV shall constitute an "Event of Default" with respect to such Series:
(a)
default shall be made in the payment of any amount of interest due in respect of any
such Notes and the default continues for a period of 30 calendar days after the due
date; or
(b)
default shall be made in the payment of any principal of any such Notes or in the
delivery when due of the Entitlement in respect of any such Notes (in each case
whether at maturity or upon redemption or otherwise), and such default continues for
a period of 30 calendar days after the due date; or
(c)
MLBV shall fail to perform or observe any other term, covenant or agreement
contained in the Terms and Conditions applicable to any of such Notes or in the
English Law Agency Agreement for the period of 90 calendar days after the date on
which written notice of such failure, requiring MLBV to remedy the same, first shall
have been given to the Principal Paying Agent and MLBV by Holders of at least 33
per cent. of the aggregate principal amount of any such Notes outstanding; or
(d)
a court having jurisdiction in the premises shall have entered a decree or order
granting relief with respect to MLBV in an involuntary proceeding under any
applicable bankruptcy, insolvency or other similar law now or hereafter in effect, or
appointing a receiver, liquidator, trustee, assignee, custodian or sequestrator (or
similar official) of MLBV of all or substantially all of its property or for the winding
up or liquidation of its affairs, and such decree or order shall have remained in force
and unstayed for a period of 60 consecutive calendar days; or
(e)
MLBV shall institute proceedings for relief under any applicable bankruptcy,
insolvency or any other similar law now or hereafter in effect, or shall consent to the
institution of any such proceedings against it, or shall consent to the appointment of a
receiver, liquidator, trustee, assignee, custodian or sequestrator (or similar official) of
it or of all or substantially all of its property, or shall make an assignment for the
benefit of creditors, or shall fail generally to pay its debts as they become due, or
shall take any corporate action in furtherance of any of the foregoing; or
(f)
any other events of default specified for a Series of Notes in the Final Terms.
If an Event of Default shall occur and be continuing with respect to any Series of Notes issued
by MLBV, then the Holders of at least 33 per cent. in aggregate principal amount of such
Notes outstanding may, at their option, declare such Notes to be due and payable immediately
at the Early Redemption Amount, together with interest, if any, accrued thereon by written
notice to MLBV, the Guarantor and the Principal Paying Agent at its main office in London,
and if any such default is not waived in accordance with Condition 11(D) or cured by MLBV
or the Guarantor, as the case may be, prior to receipt of such written notice, such Notes shall
become and be immediately due and payable at the Early Redemption Amount, together with
the interest, if any, accrued on such Notes.
An Event of Default will not occur and there will not be any right to accelerate payment
of principal, the interest accrued, or any other amounts then payable thereon (and
Additional Amounts, if any) of any Series of Notes as a result of a covenant breach by the
Guarantor.
(B)
Notes issued by BAC
The occurrence of any of the following events with respect to any Series of Notes issued by
BAC shall constitute an "Event of Default" with respect to such Series:
186
Terms and Conditions of the Notes
(a)
BAC shall fail to pay the principal amount of any of such Notes or in the delivery of
the Entitlement when due whether at maturity or upon early redemption or otherwise,
and continuance of such default for a period of 30 calendar days; or
(b)
BAC shall fail to pay any instalment of interest, other amounts payable, or Additional
Amounts on any of such Notes for a period of 30 calendar days after the due date; or
(c)
a court having jurisdiction in the premises shall enter a decree or order for relief in
respect of BAC in an involuntary case or proceeding under any applicable bankruptcy,
insolvency, reorganisation, or other similar law now or hereafter in effect, or
appointing a receiver, liquidator, conservator, assignee, custodian, trustee, or
sequestrator (or similar official) of BAC or for any substantial part of its property or
ordering the winding-up or liquidation of its affairs and such decree or order shall
remain unstayed and in effect for a period of 60 consecutive calendar days; or
(d)
BAC shall commence a voluntary case or proceeding under any applicable bankruptcy,
insolvency, liquidation, receivership, reorganisation, or other similar law now or
hereafter in effect, or shall consent to the entry of an order for relief in an involuntary
case under any such law, or shall consent to the appointment of or taking possession by
a receiver, liquidator, conservator, assignee, trustee, custodian, or sequestrator (or
similar official) of BAC or for any substantial part of its property, or shall make any
general assignment for the benefit of creditors, or shall admit in writing its inability to
pay its debts as they become due or shall take any corporate action in furtherance of
any of the foregoing; or
(e)
any other events of default specified for a Series of Notes in the Final Terms.
If an Event of Default occurs and is continuing with respect to any Series of Notes issued by
BAC, then the Noteholders of at least 25.00 per cent. in aggregate principal amount of such
Notes outstanding, by written notice to BAC, the Registrar and the Principal Paying Agent,
may declare such Notes to be due and payable immediately at the Early Redemption Amount
(together with accrued and unpaid interest (if any) to (but excluding) the date of repayment
and any Additional Amounts (if any) thereon) and if any such Event of Default is not waived,
in accordance with Condition 11(D), prior to or shall continue at the time of receipt of such
written notice, such amounts shall become immediately due and payable. Upon payment of
such amounts, all of BAC's obligations in respect of payment of principal of, interest on, or
any other amounts then payable on (and Additional Amounts, if any) such Notes shall
terminate. Interest on overdue principal, interest or any other amounts then payable thereon
(and Additional Amounts, if any) shall accrue from the date on which such principal, interest
or any other amounts then payable (and Additional Amounts, if any) were due and payable to
the date such principal, interest or any other amounts payable (and Additional Amounts, if
any) are paid or duly provided for, at the rate borne by such Notes (to the extent payment of
such interest shall be legally enforceable).
There will not be any right to accelerate payment of principal, the interest accrued, or
any other amounts then payable thereon (and Additional Amounts, if any) of any Series
of Notes issued by BAC other than as described in the preceding paragraph. In addition,
for the avoidance of doubt, unless otherwise specified in the Final Terms and, unless
contemplated by Condition 11(B)(a) or Condition 11(B)(b) and the preceding paragraph
with respect to a Series of Notes issued by BAC, there shall not be any right to accelerate
payment of principal, the interest accrued, or any other amounts then payable thereon
(and Additional Amounts, if any) of any Series of Notes issued by BAC as a result of the
failure on the part of BAC to observe or perform any covenants or agreements on the
part of BAC contained in such Series of Notes or the Agency Agreement. Further, for
the avoidance of doubt, if an Event of Default as described in Condition 11(B)(e) is
specified in the Final Terms for a Series of Notes issued by BAC, there will be no right to
accelerate payment of principal, the interest accrued, or any other amounts then payable
thereon (and Additional Amounts, if any) of such Series of Notes on the terms described
in the preceding paragraph unless such acceleration rights are granted specifically in the
Final Terms for such Series of Notes.
187
Terms and Conditions of the Notes
(C)
At any time after any Series of Notes has become due and payable following a declaration of
acceleration made in accordance with this Condition 11 and before a judgment or decree for
payment of the money due with respect to such Notes has been obtained by any Noteholder of
such Notes, such declaration and its consequences may be rescinded and annulled upon the
written consent of Noteholders of a majority in aggregate principal amount of such Notes then
outstanding, or by resolution adopted by a majority in aggregate principal amount of such
Notes outstanding present or represented at a meeting of Noteholders of such Notes at which a
quorum is present, as provided in the applicable Agency Agreement, if:
(i)
(A)
(B)
(ii)
the Issuer has paid, or has deposited with the relevant clearing system, a sum
sufficient to pay:
(1)
all overdue amounts of interest on such Notes;
(2)
the principal of such Notes which has become due otherwise than by such
declaration of acceleration; or
in the case of Notes to be redeemed by physical delivery, the Issuer has delivered
the relevant assets to any agent appointed by the Issuer to deliver such assets to
the Noteholders; and
all Events of Default with respect to such Notes, other than the non-payment of the
principal of such Notes which has become due solely by such declaration of
acceleration, have been cured or waived as provided in Condition 11(D) below.
No such rescission shall affect any subsequent default or impair any right consequent thereon.
(D)
Any default by the Issuer or (in the case of Notes issued by MLBV) the Guarantor, other than
the events described in Condition 11(A)(a), Condition 11(A)(b), Condition 11(B)(a) or
Condition 11(B)(b) may be waived by the written consent of Noteholders of a majority in
aggregate principal amount of such Notes then outstanding affected thereby, or by resolution
adopted by a majority in aggregate principal amount of such Notes then outstanding present or
represented at a meeting of Noteholders of such Notes affected thereby at which a quorum is
present, as provided in the applicable Agency Agreement. Upon any such waiver, such
default shall cease to exist, and any Event of Default arising therefrom shall be deemed to
have been cured, for every purpose of the applicable Agency Agreement, but no such waiver
shall extend to any subsequent or other default or impair any right consequent thereon.
12.
Replacement of Notes
Should any Note be lost, stolen, mutilated, defaced or destroyed, it may be replaced at the
specified office of the Principal Paying Agent upon payment by the claimant of such costs and
expenses as may be incurred in connection therewith and on such terms as to evidence and
indemnity as the Issuer may reasonably require. Mutilated or defaced Notes must be
surrendered before replacements will be issued.
13.
Paying Agents, Registrar and Calculation Agent
(A)
Paying Agents and Registrar
The names of the initial Paying Agent and the Registrar and their initial specified offices are
as set out at the end of these Terms and Conditions.
In the case of Swedish Notes, the Issuer has appointed the Swedish Paying Agent. The
Swedish Paying Agent acts solely as agent of the Issuer and (in the case of Notes issued by
MLBV) the Guarantor and does not assume any obligation to, or relationship of agency and
trust with, the Holders.
In the case of Finnish Notes, the Issuer has appointed the Finnish Paying Agent. The Finnish
Paying Agent acts solely as agent of the Issuer and (in the case of Notes issued by MLBV) the
Guarantor and does not assume any obligation to, or relationship of agency and trust with, the
Holders.
188
Terms and Conditions of the Notes
The Issuer and (in the case of Notes issued by MLBV) the Guarantor are entitled to vary or
terminate the appointment of any Paying Agent or the Registrar and/or appoint additional or
other Paying Agents or Registrars and/or approve any change in the specified office through
which any Paying Agent or Registrar acts, provided that:
(a)
there will at all times be a Principal Paying Agent and a Registrar (which, in the case
of the Registrar, shall be an entity with a specified office outside the United
Kingdom);
(b)
so long as the Notes are listed on any stock exchange or admitted to listing by any
other relevant authority, there will at all times be a Paying Agent, which may be the
Principal Paying Agent, with a specified office in such place as may be required by
the rules and regulations of the relevant stock exchange or other relevant authority;
(c)
so long as there is any Swedish Note outstanding, there will at all times be a Swedish
Paying Agent (Swedish: emissionsinstitut) who shall be duly authorised as an account
operator and issuing agent under the Swedish CSD Rules;
(d)
so long as there is any Finnish Note outstanding, there will at all times be a Finnish
Paying Agent who shall be duly authorised as an account operator and issuing agent
under the Euroclear Finland Rules; and
(e)
there will at all times be a Paying Agent in a Member State of the European Union
that will not be obliged to withhold or deduct tax pursuant to European Council
Directive 2003/48/EC or any law implementing or complying with, or introduced in
order to conform to, such Directive.
Notice of any variation, termination, appointment or change in the Paying Agents or the
Registrar will be given to the Noteholders in accordance with Condition 14 (Notices) provided
that any failure to give, or non-receipt of, such notice will not affect the validity of any such
variation, termination or changes.
In acting under the applicable Agency Agreement, the Paying Agents and the Registrar act
solely as agents of the Issuer and (in the case of Notes issued by MLBV) the Guarantor and do
not assume any obligation to, or relationship of agency or trust with, any Noteholders. The
applicable Agency Agreement contains provisions permitting any entity into which any
Paying Agent or the Registrar is merged or converted or with which it is consolidated or to
which it transfers all or substantially all of its assets to become the successor paying agent or
registrar, as applicable.
(B)
Calculation Agent
In relation to each issue of Notes, the Calculation Agent (whether it be Merrill Lynch
International or another entity) acts solely as agent of the Issuer and (in the case of Notes
issued by MLBV) the Guarantor and does not assume any obligation or duty to, or any
relationship of agency or trust for or with, the Noteholders. All calculations and
determinations made in respect of the Notes by the Calculation Agent shall be in its sole and
absolute discretion (unless, in respect of the particular calculation or determination to be
made, the Terms and Conditions provide that it shall be made in a "commercially reasonable
manner"), in good faith, and shall (save in the case of wilful default, bad faith, manifest error
or proven error) be final, conclusive and binding on the Issuer, (in the case of Notes issued by
MLBV) the Guarantor, the Paying Agents and the Noteholders. The Calculation Agent shall
promptly notify the Issuer and the Principal Paying Agent upon any such calculations and
determinations, and (in the absence of wilful default or bad faith) no liability to the Issuer, (in
the case of Notes issued by MLBV) the Guarantor, the Paying Agents, the Noteholders shall
attach to the Calculation Agent in connection with the exercise or non-exercise by it of its
powers, duties and discretions pursuant to such provisions.
The Calculation Agent may, with the consent of the Issuer, delegate any of its obligations and
functions to a third party as it deems appropriate.
189
Terms and Conditions of the Notes
14.
Notices
All notices regarding the Notes will be deemed to be validly given:
(a)
if, in respect of notices to Holders of Definitive Registered Notes, mailed to them at
their respective addresses in the Register. Such notices will be deemed to have been
given on the fourth weekday (being a day other than a Saturday or a Sunday) after the
date of mailing;
(b)
if, in respect of any Notes that are admitted to trading on the Euro MTF, and listed on
the Official List, of the Luxembourg Stock Exchange, published in a daily newspaper
of general circulation in Luxembourg and/or on the website of the Luxembourg Stock
Exchange (www.bourse.lu). Any such notice will be deemed to have been given on
the date of the first publication or, where required to be published in more than one
newspaper, on the date of the first publication in all required newspapers; or
(c)
as otherwise specified in the applicable Final Terms.
In the case of Swedish Notes, all notices to Holders shall be valid if delivered by mail to the
address registered for such Holder in the Swedish Register or otherwise in accordance with the
rules and regulations of the Swedish CSD.
In the case of Finnish Notes, all notices to Holders shall be valid if (A) delivered by mail from
the Issuer or the Finnish Paying Agent to the address registered for such Holder in the Finnish
Register, (B) delivered by e-mail or other electronic means such as a SWIFT message from the
Issuer or the Finnish Paying Agent to the e-mail, SWIFT or relevant electronic address for
such Holder as provided by Euroclear Finland, (C) published in a leading Finnish language
daily newspaper of general circulation in Helsinki (which is expected to be Kauppalehti) or
(D) otherwise given in accordance with the rules and regulations of Euroclear Finland.
Until such time as any Individual Note Certificates are issued, there may, so long as any
Global Notes representing the Notes are held in their entirety on behalf of Euroclear and/or
Clearstream, Luxembourg, as the case may be, be substituted for such publication in such
newspaper(s) (as described in Condition 14(b)) the delivery of the relevant notice to Euroclear
and/or Clearstream, Luxembourg, as applicable for communication by them to the Holders of
the Notes and, in addition, for so long as any Notes are listed on a stock exchange or are
admitted to trading by another relevant authority and the rules of that stock exchange or
relevant authority so require, such notice will be published in a daily newspaper of general
circulation in the place or places required by those rules. Any such notice shall be deemed to
have been given to the Holders of the Notes on the day on which such notice was given to
Euroclear and/or Clearstream, Luxembourg, as applicable.
Notices to be given by any Noteholder shall be in writing and given by lodging the same,
together with, in the case of Definitive Registered Notes, the related Individual Note
Certificate (if applicable), with the Principal Paying Agent. Whilst any of the Notes are
represented by a Global Note, such notice may be given by any holder of a Note to the
Principal Paying Agent through Euroclear and/or Clearstream, Luxembourg, as the case may
be, in such manner as the Principal Paying Agent and Euroclear and/or Clearstream,
Luxembourg, as the case may be, may approve for this purpose.
15.
Meetings of Noteholders, Modification and Waiver
The applicable Agency Agreement contains provisions for convening meetings of the Holders
of Notes of a particular Series to consider any matter affecting their interests, including the
sanctioning by Extraordinary Resolution of a modification of such Notes or any of the
provisions of the applicable Agency Agreement. In the case of Notes issued by MLBV, such
a meeting may be convened by the Guarantor and shall be convened by the Issuer if required
in writing by the Noteholders holding not less than 33 per cent. in nominal amount of the
Notes of the affected Series for the time being outstanding. In the case of Notes issued by
BAC, such a meeting may be convened by BAC and shall be convened by BAC if required in
writing by the Noteholders holding not less than 10 per cent. in nominal amount of the Notes
of the affected Series for the time being outstanding. The quorum at any such meeting for
190
Terms and Conditions of the Notes
passing an Extraordinary Resolution is one or more persons present and holding or
representing in the aggregate not less than 50 per cent. (in the case of Notes issued by MLBV)
or a clear majority (in the case of Notes issued by BAC) in nominal amount of the Notes of the
affected Series for the time being outstanding, or at any adjourned meeting one or more
persons present whatever the nominal amount of the Notes so held or represented, except that
at any meeting the business of which includes the modification of certain provisions of the
Notes (including modifying the date of maturity of the Notes or any date for payment of
interest thereon, reducing or cancelling the amount of principal or the Entitlement or the rate
of interest payable in respect of the Notes or altering the currency of payment of the Notes
except, in each case, in accordance with these Conditions), the quorum shall be one or more
persons present and holding or representing not less than two-thirds (in the case of Notes
issued by MLBV) or three-quarters (in the case of Notes issued by BAC) in nominal amount
of the Notes of the affected Series for the time being outstanding, or at any adjourned such
meeting one or more persons present and holding or representing not less than one-third (in
the case of Notes issued by MLBV) or one-quarter (in the case of Notes issued by BAC) in
nominal amount of the Notes of the affected Series for the time being outstanding. An
Extraordinary Resolution passed at any meeting of the Holders of the Notes of a particular
Series shall be binding on all the Holders of Notes of such Series, whether or not they are
present at the meeting.
The Principal Paying Agent and each Issuer may agree, without the consent of the Noteholders
to:
(a)
any modification (except as mentioned above) of the Notes or the applicable Agency
Agreement which is not prejudicial to the interests of the Noteholders; or
(b)
any modification of the Notes or the applicable Agency Agreement which is of a
formal, minor or technical nature or is made to correct a manifest or proven error or
to comply with mandatory provisions of the law.
Any such modification shall be binding on the Noteholders and any such modification shall be
notified to the Noteholders in accordance with Condition 14 (Notices) as soon as practicable
thereafter.
16.
Further Issues
The Issuer shall be at liberty from time to time without the consent of the Noteholders to
create and issue further notes having terms and conditions the same as the Notes or the same
in all respects save for the amount and date of the first payment of interest thereon and so that
the same shall be consolidated and form a single Series with the outstanding Notes.
If the Issuer issues further Notes of the same Series during the initial 40-day restricted period
applicable to the outstanding Notes of such Series, then such 40-day period will be extended
until 40 calendar days after the later of the commencement of the offering of such further issue
of Notes and the Issue Date of such further issue of Notes. In addition, if the Issuer issues
further Notes of the same Series after the expiration of the 40-day restricted period, a new 40day restricted period will be applied to such further issue of Notes without applying to the
outstanding Notes. After the expiration of the new 40-day restricted period, all such Notes
will be consolidated with and form a single Series with the outstanding Notes.
17.
Consolidation or Merger
(A)
Notes issued by MLBV
The Issuer or the Guarantor may consolidate with, or sell or convey all or substantially
all of its assets to, or merge with or into any other company provided that in any such
case, (i) (a) in the case of the Issuer, either the Issuer shall be the continuing company,
or the successor company shall expressly assume the due and punctual payment of all
amounts or delivery of all assets, as the case may be, (including Additional Amounts as
provided in Condition 9 (Taxation)) payable or deliverable, as applicable, with respect
to the Notes, according to their tenor, and the due and punctual performance and
observance of all of the obligations under the Conditions to be performed by the Issuer
191
Terms and Conditions of the Notes
by an amendment to the English Law Agency Agreement executed by, inter alios, such
successor company, the Guarantor, the Registrar and the Principal Paying Agent, and
(b) in the case of the Guarantor, the Guarantor shall be the continuing company, or the
successor company shall be a company organised and existing under the laws of the
United States or a state thereof or the District of Columbia and such successor
company shall expressly assume the due and punctual payment of all amounts or
delivery of all assets, as the case may be, (including additional amounts as provided in
Condition 9 (Taxation)) payable or deliverable, as applicable, with respect to the
Guarantee by the execution of a new guarantee of like tenor and (ii) immediately after
giving effect to such transaction, no Event of Default under Condition 11 (Events of
Default), and no event which, with notice or lapse of time or both, would become such
an Event of Default shall have happened and be continuing. In case of any such
consolidation, merger, sale or conveyance and upon any such assumption by the
successor company, such successor company shall succeed to and be substituted for the
Issuer or the Guarantor, as the case may be, with the same effect as if it had been
named herein as the Issuer or the Guarantor, as the case may be, and the Issuer or the
Guarantor, as the case may be, except in the event of a conveyance by way of lease,
shall be relieved of any further obligations under the Conditions, the English Law
Agency Agreement and the Guarantee, as applicable.
(B)
Notes issued by BAC
The Issuer may consolidate with, or sell or convey all or substantially all of its assets
to, or merge with or into any other company provided that in any such case, (i) either
the Issuer shall be the continuing company, or the successor company shall be a
company organised and existing under the laws of the United States or a state thereof
or the District of Columbia and such successor company shall expressly assume the due
and punctual payment of all amounts or delivery of all assets, as the case may be,
(including Additional Amounts as provided in Condition 9 (Taxation)) payable or
deliverable, as applicable, with respect to the Notes, according to their tenor, and the
due and punctual performance and observance of all of the obligations under the
Conditions to be performed by the Issuer by an amendment to the New York Law
Agency Agreement executed by, inter alios, such successor company, the Registrar and
the Principal Paying Agent, and (ii) immediately after giving effect to such transaction,
no Event of Default under Condition 11 (Events of Default), and no event which, with
notice or lapse of time or both, would become such an Event of Default shall have
happened and be continuing. In case of any such consolidation, merger, sale or
conveyance and upon any such assumption by the successor company, such successor
company shall succeed to and be substituted for the Issuer with the same effect as if it
had been named herein as the Issuer, and the Issuer, except in the event of a
conveyance by way of lease, shall be relieved of any further obligations under the
Conditions and the New York Law Agency Agreement.
18.
Business Days
In these Terms and Conditions, "Business Day" means a day which is both:
(A)
a day on which commercial banks and foreign exchange markets settle payments and
are open for general business (including dealing in foreign exchange and foreign
currency deposits) in London and (in the case of Notes issued by BAC) New York City
and each Additional Business Centre specified in the applicable Final Terms, provided
that if the Additional Business Centre is specified in the applicable Final Terms to be or
to include "TARGET", then Business Day shall also be a day on which the TARGET2
System is operating; and
(B)
either (1) in relation to any sum payable in a Specified Currency other than euro or
CNY, a day on which commercial banks and foreign exchange markets settle payments
and are open for general business (including dealing in foreign exchange and foreign
currency deposits) in the principal financial centre of the country of the relevant
Specified Currency (if other than London and any Additional Business Centre and
which if the Specified Currency is Australian dollars or New Zealand dollars shall be
192
Terms and Conditions of the Notes
Sydney or Auckland, respectively) or (2) in relation to any sum payable in euro, a day
on which the TARGET2 System is operating, or (3) in relation to any sum payable in
CNY, unless otherwise specified in the applicable Final Terms, a day on which
commercial banks and foreign exchange markets settle payments and are open for
general business (including dealing in foreign exchange and foreign currency deposits)
in the CNY Settlement Centre.
19.
Contracts (Rights of Third Parties) Act 1999
In the case of Notes issued by MLBV, no person shall have any right to enforce any term or
condition of the Notes under the Contracts (Rights of Third Parties) Act 1999, but this does
not affect any right or remedy of any person which exists or is available apart from that Act.
20.
Governing Law and Submission to Jurisdiction
(A)
Governing law
The English Law Agency Agreement, the MLBV Notes Deed of Covenant and the Notes
issued by MLBV and any non-contractual obligations arising out of or in connection with the
English Law Agency Agreement, the MLBV Notes Deed of Covenant and such Notes
(including without limitation any dispute, controversy, proceedings or claim of whatever
nature (whether contractual, non-contractual or otherwise) arising out of or in any way relating
to the English Law Agency Agreement, the MLBV Notes Deed of Covenant and the Notes
issued by MLBV or their respective formation) shall be governed by, and construed in
accordance with, English law.
The New York Law Agency Agreement, the Notes issued by BAC and the Guarantee shall be
governed by, and construed in accordance with, the laws of the State of New York, United
States, applicable to agreements made and to be performed wholly within such jurisdiction
without regard to principles of conflicts of laws.
(B)
Submission to jurisdiction
In relation to any legal action or proceedings ("Proceedings") arising out of or in connection
with the Notes issued by MLBV, the courts of England have exclusive jurisdiction and MLBV
and the Noteholders submit to the exclusive jurisdiction of the English courts. MLBV and the
Noteholders waive any objection to Proceedings in the English courts on the grounds of venue
or that the Proceedings have been brought in an inconvenient forum.
In relation to Proceedings arising out of or in connection with the Notes issued by BAC, the
U.S. federal court in the Borough of Manhattan in the City and State of New York has
exclusive jurisdiction and BAC and the Noteholders submit to the exclusive jurisdiction of
such U.S. federal court solely for the purposes of any legal action or proceeding brought to
enforce BAC's obligations under the New York Law Agency Agreement or the Notes issued
by BAC. BAC and the Noteholders waive any objection to such U.S. federal court on the
grounds of venue or that the Proceedings have been brought in an inconvenient forum.
For greater certainty, the Guarantor has not submitted to the jurisdiction of the English courts
in the Guarantee, and claims under the Guarantee are required to be instituted in the U.S.
federal court in the Borough of Manhattan in the City and State of New York, United States.
(C)
Appointment of Process Agent
MLBV hereby appoints Merrill Lynch Corporate Services Limited currently at 2 King Edward
Street, London EC1A 1HQ as its agent in England to receive service of process in any
Proceedings in England. If for any reason such process agent ceases to act as such or no
longer has an address in England, MLBV agrees to appoint a substitute process agent and to
notify the Holders of such appointment. Nothing herein shall affect the right to serve process
in any other manner permitted by law.
BAC hereby appoints CT Corporation System at 111 Eighth Avenue, New York, New York
10011 as its agent upon whom process may be served in any suit, action, or proceeding
193
Terms and Conditions of the Notes
relating to or arising out of the New York Law Agency Agreement or the Notes issued by
BAC and with a copy to BAC at Bank of America Corporation, Bank of America Corporate
Center, NC1-007-06-10, 100 North Tryon Street, Charlotte, North Carolina 28255-0065, Attn:
Corporate Treasury Global Funding Transaction Management, and with an additional copy to
Bank of America Corporation, Legal Department, NC1-027-20-05, 214 North Tryon Street,
Charlotte, North Carolina 28255-0065, Attn: General Counsel.
194
Use of Proceeds of the Notes
USE OF PROCEEDS OF THE NOTES
The net proceeds from the sale of the Notes issued by BAC will be used for general corporate purposes,
including, without limitation, BAC's working capital needs; the funding of investments in, or
extensions of credit to, its subsidiaries; possible investments in, or acquisitions of assets and liabilities
of, other financial institutions or other businesses; possible reductions, redemptions or repurchases of
outstanding indebtedness; possible repayments on outstanding indebtedness; or otherwise in the
ordinary course of BAC's business. From time to time BAC may engage in additional capital
financings of a character and in amounts that it will determine in light of its needs at such time or times
and in light of prevailing market conditions. If BAC elects at the time of issuance of Notes to make
different or more specific use of proceeds other than those set forth in this Offering Circular, BAC will
describe that use in the applicable Final Terms.
MLBV intends to use the net proceeds from the issue and sale of the Notes for general corporate
purposes, including making general loans to affiliates which may use such proceeds for their general
corporate purposes.
195
Form of Final Terms of the W&C Instruments
FORM OF FINAL TERMS OF THE W&C INSTRUMENTS
[Date]
[MERRILL LYNCH B.V.]
[MERRILL LYNCH INTERNATIONAL & CO. C.V.]
Issue of [Title of W&C Instruments]
under the Bank of America Corporation, Merrill Lynch B.V. and Merrill Lynch International &
Co. C.V.
Note, Warrant and Certificate Programme
irrevocably guaranteed (in respect of Instruments issued by Merrill Lynch B.V. and (other than
Secured W&C Instruments) issued by Merrill Lynch International & Co. C.V.) by Bank of
America Corporation
[Include the following warning for all W&C Instruments where capital is at risk:
INVESTING IN THE W&C INSTRUMENTS PUTS YOUR CAPITAL AT RISK. YOU MAY
LOSE SOME [OR ALL] OF YOUR INVESTMENT.]
The Offering Circular referred to below (as completed by these Final Terms) has been prepared on the
basis that any offer of W&C Instruments in any Member State of the European Economic Area which
has implemented the Prospectus Directive (Directive 2003/71/EC) (as amended by Directive
2010/73/EU, the "Prospectus Directive") (each, a "Relevant Member State") will be made pursuant
to an exemption under the Prospectus Directive, as implemented in that Relevant Member State, from
the requirement to publish a prospectus for offers of the W&C Instruments. Accordingly any person
making or intending to make an offer of the W&C Instruments in that Relevant Member State may
only do so in circumstances in which no obligation arises for the Issuer or any Dealer to publish a
prospectus pursuant to Article 3 of the Prospectus Directive or supplement a prospectus pursuant to
Article 16 of the Prospectus Directive, in each case, in relation to such offer. Neither the Issuer nor any
Dealer has authorised, nor do they authorise, the making of any offer of W&C Instruments in any other
circumstances.
[The W&C Instruments will not be offered, sold or otherwise distributed in or from Switzerland and
neither these Final Terms nor any other document relating to the W&C Instruments may be distributed
in Switzerland in connection with any such offering, sale or distribution except to selected qualified
investors in accordance with the Swiss Federal Act on Collective Investment Schemes.]1
The W&C Instruments are unsecured and are not and will not be savings accounts, deposits or
obligations of, or otherwise guaranteed by, any bank. The W&C Instruments do not evidence deposits
of Bank of America, N.A. or any other bank and are not insured by the U.S. Federal Deposit Insurance
Corporation, the Deposit Insurance Fund or any other insurer or governmental agency or
instrumentality.
[Each purchaser of Warrants being offered within the United States or to, or for the account or benefit
of, a United States Person (as defined herein) is hereby notified that the offer and sale of such Warrants
is being made in reliance upon an exemption from the registration requirements of the U.S. Securities
Act of 1933, as amended (the "Securities Act") pursuant to Rule 144A ("Rule 144A") and the U.S.
Investment Company Act of 1940, as amended (the "1940 Act"). The Non-COSI Guarantee has not
been and will not be registered under the Securities Act. The Issuer will offer and sell Warrants within
the United States or to, or for the account or benefit of, a United States Person through Merrill Lynch,
Pierce, Fenner & Smith Incorporated ("MLPF&S") or one of its affiliates, which in each case is a U.S.
registered broker dealer, in private transactions exclusively to persons reasonably believed to be
qualified institutional buyers (each a "QIB") as defined in Rule 144A who are also each a qualified
purchaser (each a "QP") within the meaning of Section 3(c)(7) and as defined in Section 2(a)(51)(A) of
the 1940 Act, and the rules thereunder, and who, as a condition to purchasing the Warrants will enter
1
Consider including whenever W&C Instruments are not publicly offered in Switzerland.
196
Form of Final Terms of the W&C Instruments
into and remain in compliance with an Investor Representation Letter for the benefit of MLPF&S, the
Issuer and Bank of America Corporation (the "Guarantor") (together with their respective affiliates
and any persons controlling, controlled by or under common control with MLPF&S, the Issuer and the
Guarantor). The exercise of the Warrants by, or for the account or benefit of, a United States Person
will be conditional upon such holder (and any person on whose behalf the holder is acting) being a QIB
and a QP. See "Terms and Conditions of the W&C Instruments" and "Annex 11 - Additional Terms
and Conditions for Rule 144A Warrants" in the Offering Circular. Investors in the Warrants will be
deemed to have made or will be required to make certain representations and warranties in connection
with purchasing the Warrants. See "Notice to Purchasers and Holders of Instruments and Transfer
Restrictions" on pages 644 to 657 of the accompanying Offering Circular.]1
[The W&C Instruments, the relevant Guarantee and, in certain cases, the Entitlement have not been and
will not be registered under the U.S. Securities Act of 1933, as amended (the "Securities Act"), or
under any U.S. state securities laws and the W&C Instruments may not be offered, sold, resold, traded,
transferred, pledged, delivered, exercised or redeemed, directly or indirectly, at any time within the
United States or to, or for the account or benefit of, any United States Person (as defined herein) except
pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the
Securities Act.]2
For the purposes hereof, "United States Person" means a person which is a "U.S. person" as defined
by Regulation S under the Securities Act or a "United States person" as defined in Section 7701(a)(30)
of the U.S. Internal Revenue Code of 1986, as amended, and in U.S. Treasury regulations.
The purchase of W&C Instruments involves substantial risks and is suitable only for investors who
have the knowledge and experience in financial and business matters necessary to enable them to
evaluate the risks and the merits of an investment in the W&C Instruments. Before making an
investment decision, prospective purchasers of W&C Instruments should ensure that they
understand the nature of the W&C Instruments and the extent of their exposure to risks and that
they consider carefully, in the light of their own financial circumstances, financial condition and
investment objectives, all the information set forth in the Offering Circular (including "Risk
Factors" on pages 38 to 97 thereof) and these Final Terms.
[Unregulated Instruments: The Instruments do not constitute a participation in a collective
investment scheme within the meaning of the Swiss Federal Act on Collective Investment
Schemes and are not subject to supervision by the Swiss Financial Market Supervisory Authority
FINMA.
None of the W&C Instruments constitutes a participation in a collective investment scheme within the
meaning of the Swiss Federal Act on Collective Investment Schemes. Therefore, none of the W&C
Instruments is subject to approval, registration or supervision by the Swiss Financial Market
Supervisory Authority FINMA or any other regulatory authority in Switzerland. Accordingly,
potential purchasers do not have the benefit of the specific investor protection provided under the Swiss
Federal Act on Collective Investment Schemes and are exposed to the credit risk of the Issuer and
Guarantor.]3
[Insert any specific additional risk factors (relating only to the tranche of W&C Instruments
documented by these Final Terms)]
PART A – CONTRACTUAL TERMS
Terms used herein shall be deemed to be defined as such for the purposes of the Terms and Conditions
set forth in the Offering Circular dated 24 January 2017 (the "Offering Circular") [as supplemented
by the supplement[s] to the Offering Circular listed in the Annex hereto]. This document constitutes
the Final Terms of the W&C Instruments described herein and must be read in conjunction with the
Offering Circular [as supplemented]. Full information on the Issuer, the Guarantor and the offer of the
1
Include in the case of Rule 144A Warrants being offered within the United States or to, or for the account or benefit of, United States
Persons.
2
Include except in the case of Rule 144A Warrants being offered within the United States or to, or for the account or benefit of, United
States Persons.
3
Include in the case of W&C Instruments offered in or from Switzerland.
197
Form of Final Terms of the W&C Instruments
W&C Instruments is only available on the basis of the combination of these Final Terms and the
Offering Circular [as supplemented]. The Offering Circular [and the supplement[s] to the Offering
Circular] [is] [are] available for viewing during normal business hours at the registered office of the
Issuer and at the [specified office[s] of the Instrument Agent[s] for the time being in London and [New
York City/Frankfurt/Stockholm/Helsinki/Zurich] and copies may be obtained from 2 King Edward
Street, London EC1A 1HQ and in electronic form on the Luxembourg Stock Exchange's website
(www.bourse.lu)].
[The following alternative language applies if the first tranche of an issue which is being increased was
issued under the Original Base Prospectus/Offering Circular (as defined below).
Terms used herein shall be deemed to be defined as such for the purposes of the Terms and Conditions
(the "Conditions") set forth in the [Base Prospectus/Offering Circular] dated [15 September 2009] [22
June 2010] [22 June 2011] [24 May 2012] [9 January 2013] [15 November 2013] [12 November 2014]
[11 November 2015] [10 May 2016] (the "Original [Base Prospectus/Offering Circular]") which are
incorporated by reference in the Offering Circular dated 24 January 2017. This document constitutes
the Final Terms of the W&C Instruments described herein and must be read in conjunction with the
Offering Circular dated 24 January 2017 [as supplemented by the supplement[s] to the Offering
Circular listed in the Annex hereto], including the Conditions incorporated by reference in the Offering
Circular. Full information on the Issuer, the Guarantor and the offer of the W&C Instruments is only
available on the basis of the combination of these Final Terms and the Offering Circular (including
those sections of the Original [Base Prospectus/Offering Circular] incorporated by reference therein).
The Original [Base Prospectus/Offering Circular] and the Offering Circular [and the supplement[s] to
the Offering Circular] are available for viewing during normal business hours at the registered office of
the Issuer and at the [specified office[s] of the Instrument Agent[s] for the time being in London and
[New York City/Frankfurt/Stockholm/Helsinki/Zurich] and copies may be obtained from 2 King
Edward Street, London EC1A 1HQ and in electronic form on the Luxembourg Stock Exchange's
website (www.bourse.lu)].]
References herein to numbered Conditions are to the "Terms and Conditions of the W&C Instruments"
set forth in the [Offering Circular] [Original [Base Prospectus/Offering Circular]] and words and
expressions defined in such terms and conditions shall bear the same meaning in these Final Terms,
save as where otherwise expressly provided. [References in the Offering Circular to "Instruments" and
related references (including, but not limited to, "W&C Instruments" and "Instrument Agents") shall,
for the purposes of the issue of the W&C Instruments, save where the context otherwise requires, be
deemed to be references to "Securities" (including "W&C Securities" and "Security Agents").]
[Suspension of trading: W&C Instruments listed on SIX Swiss Exchange may be suspended from
trading
Based on Article 57 of the Listing Rules of SIX Swiss Exchange (suspension of trading due to unusual
circumstances) in combination with Article 10 et. seq. of the Additional Rules for the Listing of
Derivatives, W&C Instruments linked to equity securities, bonds and commodities may be listed on
SIX Swiss Exchange and traded on SIX Structured Products Exchange only if the underlying equity
securities, bonds and commodities are also listed on a recognised securities exchange or have been
admitted to trading on such exchange. Consequently, if the underlying equity securities, bonds and
commodities are delisted on such recognised exchange, SIX Structured Products Exchange may
suspend trading in these W&C Instruments.]1
Prospective investors should note that the "Terms and Conditions of the W&C Instruments" set out in
the [Offering Circular] [Original [Base Prospectus/Offering Circular]] and any non-contractual
obligations arising out of, or in connection with, the W&C Instruments are governed by, and construed
in accordance with, English law and the relevant Guarantee is governed by, and construed in
accordance with, the laws of the State of New York.
No person has been authorised to give any information or make any representation not contained in or
not consistent with these Final Terms, or any other information supplied in connection with the W&C
Instruments and, if given or made, such information or representation must not be relied upon as
having been authorised by the Issuer, the Guarantor or any Dealer.
1
Include in the case of W&C Instruments listed on SIX Swiss Exchange.
198
Form of Final Terms of the W&C Instruments
By investing in the W&C Instruments each investor represents that:
(a)
Non-Reliance. It is acting for its own account, and it has made its own independent decisions
to invest in the W&C Instruments and as to whether the investment in the W&C Instruments is
appropriate or proper for it based upon its own judgement and upon advice from such
advisers as it has deemed necessary. It is not relying on any communication (written or oral)
of the Issuer, the Guarantor or any Dealer as investment advice or as a recommendation to
invest in the W&C Instruments, it being understood that information and explanations related
to the "Terms and Conditions of the W&C Instruments" shall not be considered to be
investment advice or a recommendation to invest in the W&C Instruments. No communication
(written or oral) received from the Issuer, the Guarantor or any Dealer shall be deemed to be
an assurance or guarantee as to the expected results of the investment in the W&C
Instruments.
(b)
Assessment and Understanding. It is capable of assessing the merits of and understanding (on
its own behalf or through independent professional advice), and understands and accepts, the
terms and conditions and the risks of the investment in the W&C Instruments. It is also
capable of assuming, and assumes, the risks of the investment in the W&C Instruments.
(c)
Status of Parties. None of the Issuer, the Guarantor and any Dealer is acting as fiduciary for
or adviser to it in respect of the investment in the W&C Instruments.
[These Final Terms shall also serve as a Confirmation by [name of applicable permitted dealer in the
United States] pursuant to Rule 10b-10 of the U.S. Securities Exchange Act of 1934, as amended, and
any other applicable rules and regulations.]1
These Final Terms relate to the Series of W&C Instruments as set out in "Specific Provisions for each
Series" below. References herein to "W&C Instruments" shall be deemed to be references to the
relevant [Warrants/Certificates] that are the subject of these Final Terms and references to "W&C
Instruments" and "W&C Instrument" shall be construed accordingly.
[Include whichever of the following apply or specify as "Not Applicable" or delete any inapplicable
provision]
1.
Issuer:
[Merrill Lynch B.V.] [Merrill Lynch International & Co.
C.V.]2
2.
Guarantor:
[Bank of America Corporation] [Not Applicable]
SPECIFIC PROVISIONS FOR EACH SERIES
Series
Number
No. of
W&C
Instruments
issued
[No. of
Warrants
per Unit]
ISIN
Common
Code
[Wertpapierkennummer
(WKN)
(German
Security
Code)]
[●]
[●]
[●]
[●]
[●]
[●]
[●]
[●]
[●]
[●]
[●]
[●]
3.
Consolidation:
[Mnemonic
(insert in
the case of
a listing on
Euronext
Paris S.A.)]
Issue Price
per [W&C
Instrument/
Unit (in the
case of
Warrants
only)]
[●]
[●]
[●]
[●]
[Not Applicable] [The W&C Instruments are to be
consolidated and form a single Series with the [insert
title of relevant series of W&C Instruments] issued
on [insert issue date]] (N.B. Only applicable in
relation to W&C Instruments which are fungible with
an existing series of W&C Instruments)
1
Include in the case of Rule 144A Warrants.
2
Merrill Lynch B.V. may only issue Certificates. Merrill Lynch International & Co. C.V. may issue Warrants or Certificates.
199
Form of Final Terms of the W&C Instruments
4.
Type of W&C Instruments:
(a)
[Warrants] [Certificates]
(b)
[Index Linked W&C Instruments]
[Share Linked W&C Instruments]
[GDR/ADR Linked W&C Instruments]
[FX Linked W&C Instruments]
[Commodity Linked W&C Instruments]
[Fund Linked W&C Instruments]
[Inflation Linked W&C Instruments]
[Long Credit Linked Certificates]
[Short Credit Linked Certificates]
[Long Credit Linked Warrants]
[Short Credit Linked Warrants]
[Saudi Share Linked Warrants]
[(specify other type of W&C Instrument)]
5.
Trade Date:
[●]
In respect of Rule 144A Warrants and Regulation
S/Rule 144A Warrants only: [The time of the
transaction by each initial purchaser is available upon
written request to Merrill Lynch, Pierce, Fenner &
Smith Incorporated.]
6.
Strike Date:
[●] [insert date(s) and relevant fallback provisions if
appropriate]
7.
Issue Date:
[●]
8.
Exercise Date:
[Not Applicable] [[●], provided that, if such date is
not an Exercise Business Day, 1 the Exercise Date
shall be the immediately [preceding] [succeeding]
Exercise Business Day (the "Scheduled Exercise
Date")] [,] [subject as provided in Credit Linked
W&C Condition 4, [,/and] [Credit Linked W&C
Condition 5 [and] Credit Linked W&C Condition 6
[and] [Credit Linked W&C Condition 9] (include for
Credit Linked W&C Instruments)]]
(N.B. Only applicable in relation to European Style
Warrants and Certificates)
1
Exercise Business Day is only applicable to Warrants.
200
Form of Final Terms of the W&C Instruments
9.
Settlement Date:
[●] [In relation to each Actual Exercise Date,] (N.B.
Insert for American Style Warrants) [The] [the]
[fifth] Business Day following the Valuation Date
[provided that if the occurrence of a Disrupted Day
has resulted in the Valuation Date for one or more
[Indices] [Shares] being adjusted as specified in the
definition of "Valuation Date" set out in the [Index
Linked Conditions] [Share Linked Conditions], the
Settlement Date shall be the fifth Business Day next
following the last occurring Valuation Date in
relation to any [Index] [Share]] [The fifth Business
Day following the last occurring Averaging Date
[provided that if the occurrence of a Disrupted Day
has resulted in an Averaging Date for one or more
[Indices] [Shares] being adjusted as specified in the
definition of "Averaging Date" as specified in the
[Index Linked Conditions] [Share Linked
Conditions], the Settlement Date shall be the fifth
Business Day next following the last occurring
Averaging Date in relation to any [Index] [Share]]
[The provisions of "Annex 12 – Additional Terms
and Conditions for Saudi Share Linked Warrants"
shall apply] [other] (N.B. Only applicable in relation
to Cash Settled W&C Instruments).
For Low Exercise Price Warrants only: [As specified
in LEPW Condition 9] [insert other]
10.
[Number] [Aggregate Notional
Amount] of W&C Instruments
being issued:
The number of W&C Instruments being issued is set
out in "Specific Provisions for each Series" above
11.
Issue Price:
[The issue price per [W&C Instrument] [Unit (in
relation to Warrants only)] is set out in "Specific
Provisions for each Series" above] [[] per cent. of
Aggregate Notional Amount]
12.
Cash Settlement Amount:
[Insert details of how Cash Settlement Amount is to
be calculated]
For Saudi Share Linked Warrants only: [The
provisions of "Annex 12 – Additional Terms and
Conditions for Saudi Share Linked Warrants" shall
apply. The relevant Adjustment Factor is set out in
"Specific Information relating to the Reference
Item(s)" in paragraph 40 of these Final Terms]
For Low Exercise Price Warrants only: [The
provisions of "Annex 3 – Additional Terms and
Conditions for Low Exercise Price Warrants" shall
apply. The Cash Settlement Amount is specified in
paragraph 39 of these Final Terms]
13.
Business Day Centre(s):
[●]
14.
Settlement:
[Cash Settled W&C Instruments] [and/or] [Physical
Delivery W&C Instruments]
(N.B. Swedish W&C Instruments, Finnish W&C
Instruments and Saudi Share Linked Warrants may
only be Cash Settled)
201
Form of Final Terms of the W&C Instruments
15.
Issuer's Option to Vary Settlement:
[Applicable] [Not Applicable]
16.
Settlement Currency:
[●]
17.
Exchange Rate:
The Exchange Rate for conversion of any amount
into the Settlement Currency for the purposes of
determining the Cash Settlement Amount is [●] [Not
Applicable]
For Saudi Share Linked Warrants only: [The
provisions of "Annex 12 – Additional Terms and
Conditions for Saudi Share Linked Warrants" shall
apply]
For Low Exercise Price Warrants only: [The
provisions of "Annex 3 – Additional Terms and
Conditions for Low Exercise Price Warrants" shall
apply. The Exchange Rate is specified in paragraph
39 of these Final Terms]
18.
Calculation Agent:
[Merrill Lynch International] [specify other]
PROVISIONS RELATING TO WARRANTS
19.
Type of Warrants:
[European Style] [American Style] [other]
(N.B. Swedish Warrants and Finnish Warrants may
only be European Style)
If American Style is applicable:
[The Exercise Period in respect of the Warrants is
from and including [●] to and including [●] [, or if
[●] is not an Exercise Business Day, the immediately
succeeding Exercise Business Day]]
If American Style and LEPW Conditions are
applicable: [The Exercise Period in respect of the
Warrants is specified in the LEPW Condition 8
[insert other]
20.
Units:
[Warrants must be exercised in Units. Each Unit
consists of the number of Warrants set out in
"Specific Provisions for each Series" above. (N.B.
This is in addition to any requirements relating to
"Minimum Exercise Number" or "Maximum Exercise
Number" set out below)] [Not Applicable]
21.
Exercise Price:
The Exercise Price per [Warrant] [Unit] is [●]] [Not
Applicable]
(N.B. This should, in the case of Index Linked
Warrants, be expressed as a monetary value. Not
applicable for Saudi Share Linked Warrants)
22.
Automatic Exercise:
[Applicable] [Not Applicable]
(N.B. Automatic exercise will always apply to
Swedish Warrants and Finnish Warrants)
202
Form of Final Terms of the W&C Instruments
23.
Minimum Exercise Number:
[The minimum number of Warrants that may be
exercised on any day by any Holder is [●] [and
Warrants may only be exercised in integral multiples
of [●] Warrants in excess thereof]] [Not Applicable]
24.
Maximum Exercise Number:
[The maximum number of Warrants that must be
exercised on any day by any Holder or group of
Holders (whether or not acting in concert) is [●]]
[Not Applicable] (N.B. Not applicable for European
Style Warrants)
25.
Notional Amount per Warrant:
[] [Not Applicable]
PROVISIONS RELATING TO CERTIFICATES
26.
27.
Holder Put Option:
[Applicable] [Not Applicable]
(a)
Holder Put Option Notice
Period:
[As specified in Condition 30(E)] [specify other]
(b)
Put Option Cash
Settlement:
[Applicable] [Not Applicable]
(c)
Put Option Cash
Settlement Amount:
[insert details]
Notional Amount per Certificate:
[] [Not Applicable]
PROVISIONS RELATING TO W&C INSTRUMENTS
28.
Additional Amounts:
[Applicable] [Not Applicable]
(N.B. Additional Amounts are not applicable for
Finnish Certificates, Finnish Warrants and W&C
Instruments in respect of which the applicable Final
Terms specify that "LEPW Conditions" shall be
applicable)
For Saudi Share Linked Warrants only (subparagraphs are not required for Saudi Share Linked
Warrants):
[Applicable.
The provisions of "Annex 12 –
Additional Terms and Conditions for Saudi Share
Linked Warrants" shall apply]
For Share Linked Instruments in respect of which the
applicable Final Terms specify that "Dividend
Conditions" shall be applicable and that Share
Linked Conditions 10 and 11 shall be applicable
(sub-paragraphs are not required):
[Applicable.
shall apply.]
Share Linked Conditions 10 and 11
For Fund Linked Instruments in respect of which the
applicable Final Terms specify that "Dividend
Conditions" shall be applicable and that Fund
Linked Conditions 14 and 15 shall be applicable
(sub-paragraphs are not required):
203
Form of Final Terms of the W&C Instruments
[Applicable.
shall apply.]
29.
per
[●]
Amount
[●]
Fund Linked Conditions 14 and 15
(a)
Notional Amount
W&C Instrument:
(b)
Additional
Payment Dates:
(c)
Additional Amount Rate:
[●]
(d)
Additional Amount Rate
Day Count Fraction:
[Actual/360]
[Actual/Actual (ISDA)]
[Actual/365 (Fixed)]
[30/360 (Floating )] [30/360] [360/360] [Bond Basis]
[30E/360] [Eurobond Basis]
[30E/360 (ISDA)]
(e)
Additional Amount CutOff Date:
[Exercise Date] [Settlement Date] [specify other]
(f)
Other terms or special
conditions relating to
Additional Amounts:
[●] [Not Applicable]
Issuer Call Option:
[Applicable] [Not Applicable]
(a)
For Certificates only: [As specified in Condition
30(C)] [specify other]
Issuer Call Option Notice
Period:
For Warrants only: [As specified in Condition
23(D)] [specify other]
30.
(b)
Call Option Date(s):
[insert date(s)]
(c)
Call Option Cash
Settlement:
[Applicable] [Not Applicable]
(d)
Call Option Cash
Settlement Amount:
[insert details]
Mandatory Early Exercise:
[Applicable] [Not Applicable]
(a)
Mandatory early Exercise
Event:
[●]
(b)
Mandatory Early Exercise
Date:
[●]
(c)
Mandatory Early Exercise
Cash Settlement:
[Applicable] [Not Applicable]
(d)
Mandatory Early Exercise
Cash Settlement Amount:
[insert details]
(e)
Mandatory Early Exercise
Cash Settlement Date:
[●]
PROVISIONS RELATING TO TYPE OF W&C INSTRUMENTS
31.
Index Linked Conditions:
[Applicable] [Not Applicable]
204
Form of Final Terms of the W&C Instruments
(a)
[The index] [Each of the indices] set out under the
heading "Index" in "Specific Information relating to
the Reference Item(s)" below ([the "Index"] [each,
an "Index" and together the "Indices" or "Basket of
Indices"])
Index/Basket of Indices:
SPECIFIC INFORMATION RELATING TO THE REFERENCE ITEM(S)
The terms "Index", "Bloomberg Code", "Index Sponsor", "Type of Index", "Exchange", "Related
Exchange", "Index Currency" [, "Weighting"] and ["Initial Level"] (insert additional columns as
applicable) applicable to [an] [the] Index shall have the corresponding meanings set forth against such
Index in the table below:
Index
Bloomberg
Code
Index
Sponsor
Type of
Index
Exchange
Related
Exchange
Index
Currency
[Weighting]1
[Initial
Level]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
(b)
Index Performance:
[●] [As specified in the Index Linked Conditions]
(c)
Barrier Event (intraday):
[Applicable] [Not Applicable]
Barrier Event
Determination Day:
[As specified in the Index Linked Conditions]
Barrier Event (closing):
[Applicable] [Not Applicable]
Barrier Event
Determination Day:
[Valuation Date]
(d)
[In respect of [the] [each] Index, each Scheduled
Trading Day for such Index during [the] [each]
Observation Period that is not a Disrupted Day for
such Index]
[Each Common Scheduled Trading Day that is not a
Disrupted Day for any Index in the Basket of Indices
during [the] [each] Observation Period]
1
(e)
Barrier Level:
[●] [Not Applicable]
(f)
Averaging:
[Applicable] [Not Applicable]
(i)
[●]
Averaging Date(s):
(ii) Omission:
[Applicable] [Not Applicable]
(iii) Postponement:
[Applicable] [Not Applicable]
(iv) Modified
Postponement:
[Applicable] [Not Applicable]
(g)
Valuation Date(s):
[●]
(h)
Valuation Time:
[As specified in the Index Linked Conditions]
[specify other]
(i)
Observation Date(s):
[●]
May only be applicable in relation to Index Linked W&C Instruments relating to a Basket of Indices.
205
Form of Final Terms of the W&C Instruments
Observation Period:
[Applicable: [Extension] [No Extension]] [Not
Applicable]
(i)
Observation Period
Start Date:
[[●] ([Including] [Excluding])] [Not Applicable]
(ii) Observation Period
End Date:
[[●] ([Including] [Excluding])] [Not Applicable]
Common
Scheduled
Trading Days:
[Applicable. [Common] [Individual] Disrupted Days
will apply] (N.B. If Common Scheduled Trading
Days are applicable, either Common or Individual
Disrupted Days must be specified.) [Not Applicable]
(j)
(k)
(N.B. May only be applicable in relation to Index
Linked W&C Instruments relating to a Basket)
(l)
[If the Valuation Date, an Averaging Date or an
Observation Date, as the case may be, is a Disrupted
Day, the relevant level or price will be calculated
[insert calculation method]]
Disrupted Day:
[As specified in the Index Linked Conditions]
(m)
Additional
Events:
Disruption
The following Additional Disruption Events apply to
the W&C Instruments:
[Change in Law]
[Hedging Disruption]
[Increased Cost of Hedging]
(n)
32.
Other terms or special
conditions:
[] [Not Applicable]
Share Linked Conditions:
[Applicable] [Not Applicable]
(a)
[The] [Each of the] [ordinary shares] [depositary
receipts] of the relevant Share Company set out
under the heading "Share Company" in "Specific
Information relating to the Reference Item(s)" below
(each a "Share" and together, the "Shares" [or the
"Basket of Shares"])
Share(s)/Basket of Shares:
SPECIFIC INFORMATION RELATING TO THE REFERENCE ITEM(S)
The terms "Share Company", "ISIN of Share", "Bloomberg Code", "Exchange", "Related
Exchange", "Local Jurisdiction" [, "Weighting"] and ["Initial Price"] (insert additional columns as
appropriate) applicable to a Share shall have the corresponding meanings set forth against the relevant
Share Company in the table below:
Share
Company
ISIN of
Share
Bloomberg
Code
Exchange
Related
Exchange
Local
Jurisdiction
[Weighting]1
[Initial
Price]
[●]
[●]
[●]
[●]
[●]
[●]
[●]
[●]
[●]
[●]
[●]
[●]
[●]
[●]
[●]
[●]
(b)
1
Share Performance:
[●] [As specified in the Share Linked Conditions]
May only be applicable in relation to Share Linked W&C Instruments relating to a Basket of Shares.
206
Form of Final Terms of the W&C Instruments
(c)
(d)
Barrier Event (intraday):
[Applicable] [Not Applicable]
Barrier Event Determination
Day:
[As specified in the Share Linked Conditions]
Barrier Event (closing):
[Applicable] [Not Applicable]
Barrier Event Determination
Day:
[Valuation Date]
[In respect of [the] [each] Share, each Scheduled
Trading Day for [the] [each] Share during [the]
[each] Observation Period that is not a Disrupted
Day for such Share]
[Each Common Scheduled Trading Day that is
not a Disrupted Day for any Share in the Basket
of Shares during [the] [each] Observation Period]
(e)
Barrier Level:
[●] [Not Applicable]
(f)
Averaging:
[Applicable] [Not Applicable]
(i)
[]
Averaging Date(s):
(ii) Omission:
[Applicable] [Not Applicable]
(iii) Postponement:
[Applicable] [Not Applicable]
(iv) Modified Postponement:
[Applicable] [Not Applicable]
(g)
Valuation Date(s):
[]
(h)
Valuation Time:
[As specified in the Share Linked Conditions]
[specify other]
(i)
Observation Date(s):
[]
(j)
Observation Period:
[Applicable: [Extension] [No Extension]] [Not
Applicable]
(i)
Observation Period Start
Date:
[[] ([Including] [Excluding])] [Not Applicable]
(ii) Observation Period End
Date:
[[] ([Including] [Excluding])] [Not Applicable]
Common Scheduled Trading
Days:
[Applicable. [Common] [Individual] Disrupted
Days will apply]] (N.B. If Common Scheduled
Trading Days are applicable, either Common or
Individual Disrupted Days must be specified)
[Not Applicable]
(k)
(N.B. May only be applicable in relation to Share
Linked W&C Instruments relating to a Basket)
(l)
Disrupted Day:
[If the Valuation Date, an Averaging Date or an
Observation Date, as the case may be, is a
Disrupted Day, the relevant level or price will be
calculated [insert calculation method]]
[As specified in the Share Linked Conditions]
207
Form of Final Terms of the W&C Instruments
(m)
Tender Offer:
[Applicable] [Not Applicable]
(n)
Announcement Event:
[Applicable] [Not Applicable]
(o)
Share Substitution:
[Applicable.
Share Substitution Criteria are
[insert details] [as specified in the Share Linked
Conditions]] [Not Applicable]
(p)
Local Tax Adjustment:
[Not Applicable]
[Applicable. Local Jurisdiction is set out in
"Specific Information relating to the Reference
Item(s)" above. [Where Local Jurisdiction is
specified to be "United States" then this shall
mean the United States of America's federal
and/or state and/or local taxes and/or any political
subdivision thereof]]
(q)
(r)
Additional Disruption Events:
Dividend Conditions:
The following Additional Disruption Events apply
to the W&C Instruments:
[Change in Law]
[Hedging Disruption]
[Increased Cost of Hedging]
[Increased Cost of Stock Borrow]
[Initial Stock Loan Rate: [●]]
[Insolvency Filing]
[Loss of Stock Borrow]
[Maximum Stock Loan Rate: [●]]
[Indian LEPW Non-compliance Event] (N.B.
Only applicable in relation to Share Linked W&C
Instruments in respect of which LEPW Conditions
apply)
[LEPW Non-compliance Event] (N.B. Only
applicable in relation to Share Linked W&C
Instruments in respect of which LEPW Conditions
apply)
[Regulatory Order] (N.B. Only applicable in
relation to Share Linked W&C Instruments in
respect of which LEPW Conditions apply)
[China Connect Share Disqualification]
[China Connect Service Termination] (N.B. Only
applicable in relation to Share Linked W&C
Instruments in respect of which LEPW Conditions
and China Connect Share LEPW Conditions
apply)
[Applicable] [Not Applicable]
[Share Linked Condition[s] 10 [and 11] shall
apply]
Additional Amount Proportion: [100 per cent.]
[]
(s)
Number of Shares per W&C
Instrument:
[]
Other terms or special
conditions:
[] [Not Applicable]
208
Form of Final Terms of the W&C Instruments
33.
GDR/ADR Linked Conditions:
[Applicable] [Not Applicable]
(For GDR/ADR Linked W&C Instruments
complete sections for Share Linked W&C
Instruments (paragraph 32 above) (completed
and amended as appropriate) and this section)
34.
(a)
Partial Lookthrough:
[Applicable] [Not Applicable]
(b)
Full Lookthrough:
[Applicable] [Not Applicable]
FX Linked Conditions:
[Applicable] [Not Applicable]
(a)
Base Currency/Subject
Currency:
[●]
(b)
Currency Price:
[As specified in the FX Linked Conditions]
[specify other]
(c)
FX Market Disruption
Event(s):
(N.B. Only complete if Inconvertibility
Event/Price
Materiality
Event/NonTransferability Event and/or other disruption
events should be included as FX Market
Disruption Events)
(i)
[Applicable] [Not Applicable]
(d)
Inconvertibility Event:
(ii) Price Materiality Event:
[Applicable. Price Materiality Percentage: [●]]
[Not Applicable]
(iii) Non-Transferability
Event:
[Applicable] [Not Applicable]
(iv) Other:
[]
Disruption Fallbacks:
(Specify the applicable Disruption Fallbacks in
the order that they will apply)
[Calculation Agent Determination]
[Currency-Reference Dealers Reference Dealers:
[four] [specify other]
[EM Fallback Valuation Postponement]
[EM Valuation Postponement]
[Fallback Reference Price Fallback Reference
Price: [●]]
[Other Published Sources]
[Postponement Maximum Days of Postponement:
[●]]
[Other]
(e)
FX Price Source(s):
[]
(f)
Specified Financial Centre(s):
[]
(g)
Averaging:
[]
(h)
Valuation Date(s):
[]
(i)
Valuation Time:
[]
209
Form of Final Terms of the W&C Instruments
(j)
Weighting:
[Not Applicable] [The weighting to be applied to
each item comprising the Basket to ascertain the
Currency Price is [●]] (N.B. Only applicable in
relation to FX Linked W&C Instruments relating
to a Basket)
(k)
EM Currency Provisions:
[Applicable] [Not Applicable]
(i)
[Applicable. Maximum Days of Deferral: [●]]
Unscheduled Holiday:
[Not Applicable]
(ii) EM Valuation
Postponement:
[Applicable. Maximum Days of EM Valuation
Postponement: [●]]
(iii) EM Fallback Valuation
Postponement:
[Applicable. Fallback Maximum Period of
Postponement: [As specified in the FX Linked
Conditions] [specify other]
[Not Applicable]
(iv) Cumulative Events:
[Applicable. Maximum Days of Cumulative
Postponement: [As specified in the FX Linked
Conditions] [specify other] [Not Applicable]]
(l)
Successor Currency:
[Applicable] [Not Applicable] [Issue Date/other]
(m)
Rebasing:
[Applicable] [Not Applicable]
(n)
Additional Disruption Events:
[Not Applicable]
[The following Additional Disruption Events
apply to the W&C Instruments:
[Change in Law]
[Hedging Disruption]
[Increased Cost of Hedging]]
(o)
35.
Other
terms
conditions:
or
special
[●] [Not Applicable]
Commodity Linked Conditions:
[Applicable] [Not Applicable]
(a)
Commodity/Basket of
Commodities/Commodity
Index/Basket of Commodity
Indices:
[●]
(b)
Commodity Reference Price:
[●]
(c)
Price Source:
[●]
(d)
Exchange:
[●]
(e)
Delivery Date:
[●]
(f)
Pricing Date:
[●]
210
Form of Final Terms of the W&C Instruments
(g)
Common Pricing (Commodity
Linked Condition 3(a)):
[Applicable] [Not Applicable] (N.B. Only
applicable in relation to Commodity Linked W&C
Instruments relating to a Basket of Commodities
or Basket of Commodity Indices)
(h)
Additional Commodity Market
Disruption Events:
[Specify any additional Commodity Market
Disruption Events]
(i)
Disruption Fallback(s):
[As specified in the Commodity
Conditions]/[specify other]
Linked
[Fallback Reference Price: alternate Commodity
Reference Price – [●]]
[Commodity Cut-Off Date: [●]]
[Commodity Index Cut-Off Date: [●]]
(j)
Additional Disruption Events
in respect of a Commodity
Index:
[Not Applicable]
[The following Additional Disruption Events
apply to the W&C Instruments in respect of a
Commodity Index:
[Change in Law]
[Hedging Disruption]
[Increased Cost of Hedging]]
(k)
Commodity Business Day:
[In respect of [the] [each] Commodity as specified
in the Commodity Linked Conditions]
[In respect of [the] [each] Commodity Index [●]
[If Commodity Index linked, the Commodity
Business Day should mirror the definition of
Business Day as used in the Commodity Index]
(l)
Weighting:
[Not Applicable] [The weighting to be applied to
each item comprising the Basket is [●]] (N.B.
Only applicable in relation to Commodity Linked
W&C Instruments relating to a Basket)
(m)
Specified Price:
[high price]
[low price]
[average of the high price and the low price]
[closing price]
[opening price]
[bid price]
[asked price]
[average of the bid price and the asked price]
[settlement price]
[official settlement price]
[official price]
[morning fixing]
[afternoon fixing]
[spot price]
[specify other]
211
Form of Final Terms of the W&C Instruments
(n)
36.
Other terms or special
conditions:
[●] [Not Applicable]
[If Commodity Index linked, ensure that Market
Disruption Event covers disruptions on any
underlying sub-indices]
Fund Linked Conditions:
[Applicable] [Not Applicable]
(a)
[]
Fund/Basket of Funds:
[[The [●] Fund is an ETF]
[Exchange for each Fund Share: [●]]
[Related Exchange for each Fund Share: [●] [All
Exchanges]]
[Underlying Index: [●]]
(N.B.
Include for Exchange Traded Funds
(ETFs))
(b)
Fund Interest(s):
[●]
(c)
Fund Performance:
[●] [As specified in the Fund Linked Conditions]
(d)
Weighting:
[Not Applicable] [The weighting to be applied to
each Fund comprising the Basket of Funds [●]]
(N.B. only applicable in relation to Fund
Linked Notes relating to a Basket of Funds]
(e)
Barrier Event (intraday):
[Applicable] [Not Applicable]
Barrier Event Determination
Day:
[As specified in the Fund Linked Conditions]
Barrier Event (closing):
[Applicable] [Not Applicable]
Barrier Event Determination
Day:
[Valuation Date]
(f)
[In respect of [the] [each] Fund Share, each
Scheduled Trading Day for such Fund Share
during each Observation Period that is not a
Disrupted Day for such Fund Share]
[Each Common Scheduled Trading Day that is
not a Disrupted Day for any Fund in the Basket of
Funds during [the] [each] Observation Period]
(g)
Barrier Level:
[●] [Not Applicable]
(h)
Averaging:
[Applicable] [Not Applicable]
(i)
Averaging Dates:
[insert dates]
(ii)
Omission:
[Applicable] [Not Applicable] (N.B. May only be
applicable in relation to Exchange Traded Funds
(ETFs))
(iii)
Postponement:
[Applicable] [Not Applicable] (N.B. May only be
applicable in relation to Exchange Traded Funds
(ETFs))
212
Form of Final Terms of the W&C Instruments
(iv)
Modified
Postponement:
[Applicable] [Not Applicable] (N.B. May only be
applicable in relation to Exchange Traded Funds
(ETFs))
(i)
Valuation Date(s):
[●]
(j)
Valuation Time:
[As specified in the Fund Linked Conditions]
[specify other] (N.B. May only be applicable in
relation to Exchange Traded Funds (ETFs))
(k)
Observation Date(s):
[●]
(l)
Observation Period:
[Applicable: [Extension] [No Extension]] [Not
Applicable]
(m)
(i)
Observation
Start Date:
Period
(ii)
Observation Period
End Date:
[[●] ([Including] [Excluding])] [Not Applicable]
[[●] ([Including] [Excluding])] [Not Applicable]
Common Scheduled Trading
Days:
[Applicable. [Common] [Individual] Disrupted
Days will apply] (N.B. If Common Scheduled
Trading Days are applicable, either Common or
Individual Disrupted Days must be specified)
[Not Applicable]
(N.B. May only be applicable in relation to Fund
Linked W&C Instruments relating to a Basket of
Funds)
(n)
Additional Disruption Events:
[Not Applicable]
[The following Additional Disruption Events
apply to the W&C Instruments:
[Change in Law]
[Hedging Disruption]
[Increased Cost of Hedging]]
(o)
Dividend Conditions:
[Applicable] [Not Applicable]
[Fund Linked Condition[s] 14 [and 15] shall
apply]
Additional Amount Proportion: [100 per cent.]
[]
(p)
37.
Number of Fund Shares per
W&C Instrument:
[●]
Other terms or special
conditions:
[Merger Event: Merger Date on or before [the
Valuation Date] [other]] [Not Applicable]
Inflation Linked Conditions:
[Applicable] [Not Applicable]
(a)
[●]
Inflation Index/Basket
of
Inflation
Indices/Inflation
Index Sponsor(s):
Inflation Index Sponsor: [●]
213
Form of Final Terms of the W&C Instruments
(b)
Related Bond:
[Applicable] [Not Applicable]
The Related Bond is: [●] [Fallback Bond]
[Fallback Bond: [Applicable] [Not Applicable]]
The End Date is: [●]
38.
(c)
Determination Date(s):
[●]
(d)
Cut-Off Date:
[●]
(e)
Other
terms
conditions:
or
special
Credit Linked W&C Instruments:
[●] [Not Applicable]
[Applicable] [Not Applicable]
[The provisions of "Annex 9B – Additional Terms
and Conditions for Credit Linked W&C
Instruments" shall apply]
(a)
Notional Amount per W&C
Instrument:
[●]
(b)
Aggregate Notional Amount of
the W&C Instruments:
[●]
(c)
Credit Observation Start Date:
[●] [Not Applicable]
(d)
Scheduled Exercise Date:
[●]
(e)
Long/Short Exercise Date:
[15 Business Days] [specify other]
(f)
Accrual of Additional
Amounts upon Credit Event:
[Applicable] [Not Applicable]
(g)
Calculation Agent
Determination:
[Applicable] [Not Applicable]
(h)
Credit Event Backstop Date:
[[Not] [subject to adjustment for non-Business
Days in accordance with the Business Day
Convention]
(i)
Reference Entity(ies):
[●]
Transaction Type: [●]
Financial Reference Entity Terms: [Applicable]
[Not Applicable]
(j)
Reference Obligation(s):
[Standard Reference
Obligation:
[Applicable] [Not Applicable]
[Seniority Level:
[Senior Level] [Subordinated Level]]
(Include details of Reference Obligation(s) if
Standard Reference Obligation does not apply)
214
Form of Final Terms of the W&C Instruments
[The obligation[s] identified
as follows:
[●]
Primary Obligor:
[●]
Guarantor:
[●]
Maturity:
[●]
Coupon:
[●]
CUSIP/ISIN:
[●]]
(k)
Party responsible for making
calculations and
determinations pursuant to the
Credit Linked W&C
Conditions (if not Calculation
Agent):
[]
(l)
All Guarantees:
[Applicable] [Not Applicable]
(m)
Credit Events:
[As set forth in the Physical Settlement Matrix for
the Transaction Type]/[Bankruptcy]
[Failure to Pay]
Payment Requirement: [●]
[Grace Period
Applicable]
Extension [Applicable]
[Not
[If Applicable:
Grace Period: [●]]
[Obligation Default]
[Obligation Acceleration]
[Repudiation/Moratorium]
[Restructuring
Mod R: [Applicable] [Not Applicable]
Mod Mod R: [Applicable] [Not Applicable]]
[Governmental Intervention]
Default Requirement: [●]
-
Provisions relating to Credit Event Notice
after M(M)R Restructuring Credit Event:
Credit Linked W&C Condition 11
[Applicable] [Not Applicable]
-
Provisions relating to Multiple Holder
Obligation: Credit Linked W&C Condition
12 [Applicable] [Not Applicable]
[Specify other]
215
Form of Final Terms of the W&C Instruments
(n)
(o)
Nth-to-Default Instruments:
[Applicable] [Not Applicable]
Substitution:
[Applicable] [Not Applicable]
N:
[]
Credit Spread Requirement:
[●] (N.B. if Substitution applicable)
Notice of Publicly Available
Information:
[Applicable] [Not Applicable]
[If Applicable:
Public Source(s): [●]
Specified Number: [●]
Notice Delivery Period: [●] Business Days
(p)
Obligation(s):
Obligation Category:
[As set out in the Physical Settlement Matrix for
the Transaction Type] [Payment]
[select one only]:
[Borrowed Money]
[Reference Obligation Only]
[Bond]
[Loan]
[Bond or Loan]
Obligation Characteristics:
[As set out in the Physical Settlement Matrix for
the Transaction Type] [Not Subordinated]
[select all of which apply]:
[Specified Currency: [specify currency]]
[Standard Specified Currency]
[Not Sovereign Lender]
[Not Domestic Currency]
[Domestic Currency means: [specify currency]]
[Not Domestic Law]
[Domestic Law means: [specify law]]
[Listed]
[Not Domestic Issuance]
Additional Obligation(s):
[●]
(q)
Excluded Obligation(s):
[●]
(r)
Redemption following Merger
Event:
Credit Linked W&C Condition 10 [Applicable]
[Not Applicable]
(If Applicable)
216
Form of Final Terms of the W&C Instruments
[Merger Event Redemption Amount: [●]]
[Merger Event Redemption Date: [●]]
(s)
Unwind Costs:
[Standard Unwind Costs] [specify other] [Not
Applicable]
(t)
Provisions relating to
Monoline Insurer as Reference
Entity:
Credit Linked W&C Condition 14 [Applicable]
[Not Applicable]
(u)
Provisions relating to LPN
Reference Entities:
Credit Linked W&C Condition 15 [Applicable]
[Not Applicable]
(v)
Settlement Method:
[Cash Settlement] [Physical Settlement]1 [Auction
Settlement]
(w)
Fallback Settlement Method:
[Cash Settlement] [Physical Settlement]2
Terms relating
Settlement
to
Cash
(x)
Credit Event Redemption
Amount:
[[●] per W&C Instrument] [As specified in the
Credit Linked W&C Conditions]
(y)
Credit
Date:
[●] Business Days
(z)
Valuation Date:
Event
Redemption
[Single Valuation Date:
[●] Business Days]
[Multiple Valuation Dates:
[●] Business Days; and each [●] Business Days
thereafter
Number of Valuation Dates: [●]]
(aa)
Valuation Time:
[●]
(bb)
Quotation Method:
[Bid] [Offer] [Mid-market]
(cc)
Quotation Amount:
[●] [Representative Amount]
(dd)
Minimum Quotation Amount:
[●]
(ee)
Quotation Dealers:
[●]
(ff)
Quotations:
[Include Accrued Interest] [Exclude Accrued
Interest]
(gg)
Valuation Method:
[Market] [Highest]
[Average Market] [Highest] [Average Highest]
[Blended Market] [Blended Highest]
[Average Blended Market] [Average Blended
1
Long Credit Linked W&C Instruments only.
2
Long Credit Linked W&C Instruments only.
217
Form of Final Terms of the W&C Instruments
Highest]
(hh)
Provisions relating to
Deliverable Obligations
Portfolio Valuation:
Credit Linked W&C Condition 16 [Applicable]
[Not Applicable]
[If Applicable:
Benchmark Obligation: [Reference Obligation]
[Other]
(N.B. Deliverable Obligation Category and
Deliverable Obligation Characteristics should
also be completed if Credit Linked W&C
Condition 16 applies)]
Terms relating to Auction Settlement
(ii)
Auction Settlement Amount:
[●]
(jj)
Auction Settlement Date:
[Five Business Days] [Specify other]
(kk)
Other terms or special
conditions:
[●] [Not Applicable]
Terms relating to Physical Settlement
(N.B. include if Physical Settlement is the
Settlement Method or the Fullback Settlement
Method)
(ll)
Physical Settlement Period:
[●] Business Days
(mm)
Accrued Interest on
Entitlement:
[Include Accrued Interest] [Exclude Accrued
Interest]
(nn)
Settlement Currency:
[●]
(oo)
Deliverable Obligations:
Deliverable Obligation
Category
[As set out in the Physical Settlement Matrix for
the Transaction Type] [Payment]
[select one only]:
[Borrowed Money]
[Reference Obligation Only]
[Bond]
[Loan]
[Bond or Loan]
Deliverable Obligation
Characteristics
[As set out in the Physical Settlement Matrix for
the Transaction Type] [Not Subordinated]
[select all of which apply]:
[Specified Currency: [specify currency]]
[Standard Specified Currency]
[Not Sovereign Lender]
[Not Domestic Currency]
[Domestic Currency means: [specify currency]]
218
Form of Final Terms of the W&C Instruments
[Not Domestic Law]
[Domestic Law means: [specify law]]
[Listed]
[Not Subordinated]
[Not Domestic Issuance]
[Assignable Loan]
[Consent Required Loan]
[Direct Loan Participation]
[Qualifying Participation Seller: Applicable] [Not
Applicable [insert requirements]]
[Transferable]
[Maximum Maturity: [●]]
[Accelerated or Matured]
[Not Bearer]
Additional Deliverable
Obligation(s):
[●]
(pp)
Excluded Deliverable
Obligation(s):
[●]
(qq)
Indicative Quotations:
[Applicable] [Not Applicable]
(rr)
Credit Cut-Off Date:
[●]
(ss)
Additional Disruption Events:
[Not Applicable]
[The following Additional Disruption Events will
apply to the W&C Instruments:
[Change in Law]
[Hedging Disruption]
[Increased Cost of Hedging]]
(tt)
Subordinated European
Insurance Terms:
[Applicable] [Not Applicable]
(ww)
CoCo Provisions:
Credit Linked W&C Condition 18 [Applicable]
[Not Applicable]
[If Applicable:
Trigger Percentage: [As specified in Credit
Linked W&C Condition 18] [●]]
(xx)
Sovereign No Asset Package
Delivery:
Credit Linked W&C Condition 19 [Applicable]
[Not Applicable]
(yy)
Other terms or special
conditions:
[●] [Not Applicable]
219
Form of Final Terms of the W&C Instruments
39.
LEPW Conditions:
[Applicable] [Not Applicable]
(a)
[The provisions of Annex 3 - Additional Terms
and Conditions for Low Exercise Price Warrants
shall apply]
Cash Settlement Amount:
[]
(i)
(ii)
(b)
Out-performance
[Applicable] [Not Applicable] [if not applicable,
then may delete the following sub-paragraphs]
[-
[[]] [Not Applicable] (N.B. If Out-performance
is applicable, insert this sub-paragraph)
Rate:]
Non Out-performance:
[Applicable] [Not Applicable] [if not applicable,
then may delete the following sub-paragraphs]
[-
[[  ]] [Not Applicable] (N.B. If Non Outperformance is applicable, insert this subparagraph)
Multiplier:]
(iii) Settlement Price:
[Settlement Price (Effective Price 1)] [Settlement
Price (Effective Price 2)] [Settlement Price (Index
Closing Level)] [Settlement Price (Share Closing
Price 1)] [Settlement Price (Share Closing Price
2)]
Exchange Rate:
[  ] [Applicable: [Exchange Rate 1] [Exchange
Rate 2]] [Not Applicable] (N.B. insert the
following sub-paragraphs if Exchange Rate 2 is
applicable)
[(A) Specified Rate:]
[The [spot rate of exchange] [bid rate of
exchange] [mid rate of exchange] [offer rate of
exchange]] []
[(B) FX Price Source:]
[]
[(C) FX Valuation
Time:]
[]
(c)
Local Currency:
[[]] [Not Applicable]
(d)
Additional Amount
[  ] [As defined in LEPW Condition 2] [Not
Applicable] (N.B. Not Applicable for Index
Linked W&C Instruments)
(e)
Additional Amount Payment
Date(s):
[As specified in LEPW Condition 2] [insert other]
[Not Applicable] (N.B. Not Applicable for Index
Linked W&C Instruments)
(f)
Dividend Taxes (PRC)
Deduction:
[Applicable][Not
Applicable]
(N.B.
Not
Applicable for Index Linked W&C Instruments)
(g)
Number of Shares per
Warrant:
[  ] [Not Applicable] (N.B. Not Applicable for
Index Linked W&C Instruments)
(h)
Pre-IPO Share:
[Applicable] [Not Applicable]
(i)
Ratio:
[[ ]] [Not Applicable] (N.B. Not Applicable for
Index Linked W&C Instruments)
220
Form of Final Terms of the W&C Instruments
40.
(j)
Original Scheduled Expiration
Date:
[]
(k)
Scheduled Expiration Cut-Off
Date
[]
(l)
Special Conditions for
Potential Adjustment Events
(LEPW Condition 5(g)):
[Applicable] [Not Applicable] (N.B. Not
Applicable for Index Linked W&C Instruments)
(m)
Change in Law Amendment
(LEPW Condition 6):
[Applicable] [Not Applicable]
(n)
Deduction of Cost and Taxes
(LEPW Condition 7):
[Applicable] [Not Applicable]
(o)
Exercise Period Start Date
(LEPW Condition 8):
[Tranche 1 Issue Date: []] [] [Listing Date]
(p)
Scheduled Settlement Date
(LEPW Condition 9):
[] [Scheduled Settlement Date is Business Day
Adjusted]
(i)
Number of Settlement
Business Days:
[[] Business Days] [As specified in the LEPW
Conditions]
(ii)
Settlement Business Day
Convention:
[Following Business Day Convention] [Modified
Following Business Day Convention] [Nearest]
[Preceding Business Day Convention]
(q)
China Connect Share LEPW
Conditions (LEPW Conditions
10 to 14):
[Applicable] [Not Applicable]
(r)
Other terms or special
conditions:
[] [Not Applicable]
Saudi Share Linked Warrant
Conditions:
[Applicable] [Not Applicable]
(a)
[Each of the ordinary shares of the relevant Share
Company set out under the heading "Share
Company" in "Specific Information relating to
the Reference Item(s)" below (each a "Share" and
together, the "Shares" [or the "Basket of
Shares"])
Share(s)/Basket of Shares:
SPECIFIC INFORMATION RELATING TO THE REFERENCE ITEM(S)
The terms "Share Company", "Adjustment Factor", "ISIN of Share", "Weighting" and "Bloomberg
Code" applicable to the Share shall have the meaning set forth against the relevant Share Company in
the table below.
Series
Number
Share
Company
Adjustment
Factor
ISIN of Share
Weighting
Bloomberg
Code
[●]
[●]
[●]
[●]
[●]
[●]
[●]
[●]
[●]
[●]
[●]
[●]
(b)
Exchange(s):
[●] [Saudi Stock Exchange (Tadawul)]
221
Form of Final Terms of the W&C Instruments
(c)
Related Exchange:
[●] [All Exchanges]
(d)
Valuation Date:
[●] (N.B. Valuation Date should be no longer than
four years following the Trade Date in order to
comply with the Saudi CMA Resolution)
[Common Scheduled Trading Days: [Applicable]
[Not Applicable]] (N.B. May only be applicable in
relation to Share Linked W&C Instruments relating
to a Basket)
(e)
Tender Offer:
[Applicable] [Not Applicable]
(f)
Share Substitution:
[Applicable. Share Substitution Criteria are
[specified in Share Linked Condition 6] [specify
other]]
[Not Applicable]
(g)
Additional Disruption
Events:
The following Additional Disruption Events apply to
the W&C Instruments (in addition to CMA Order,
Jurisdiction Event and/or Trading Failure as set out
in the provisions of "Annex 12 – Additional Terms
and Conditions for Saudi Share Linked Warrants"):
[Change in Law]
[Hedging Disruption]
[Increased Cost of Hedging]
[Insolvency Filing]
(h)
Other terms or special
conditions:
[●] [Not Applicable]
PROVISIONS RELATING TO SECURED W&C INSTRUMENTS
41.
Secured Static/Floating
Instruments Conditions:
W&C
[Applicable in accordance with Annex 13] [Not
applicable]
(If not applicable, delete the remaining provisions of
this section).
(a)
[Single Eligible Debt Security] / [Basket of Eligible
Debt Securities]
Eligible Static Collateral Assets:
(Insert the following sub-paragraphs if Single
Eligible Debt Security is specified)
[
Relevant
Static
Collateral ISIN:
[]

Debt
Issuer:
[]]
Security
(Insert the following table if a Basket of Eligible
Debt Securities is specified)
Eligible Static Collateral Assets Table
Debt Security Issuer(s)
Relevant Static Collateral ISIN
Eligible Debt Security Weighting
[]
[]
[]%
222
Form of Final Terms of the W&C Instruments
[Repeat rows as necessary]
(b)
Collateral Valuation Currency:
[specify]
(c)
MTM
Collateral
Percentage:
[specify]
(d)
Order of Priority:
(e)
Physical Delivery
Collateral Assets:
(f)
Specified
[Standard Order of Priority as defined in Annex 13]
[(a),[specify alternative order of sub-paragraphs (b)
– (e) as needed]].
of
Static
[Applicable] [Not Applicable]
(N.B. In respect of any Secured W&C Instruments
which are Rule 144A Warrants, Physical Delivery of
Static Collateral Assets shall not apply)
[Applicable. Only Initial MTM Collateral Assets are
Eligible is applicable] [Applicable. In respect of each
Eligible MTM Collateral Class, as specified in the
relevant row of the MTM Collateral Assets Table
below:]
Eligibility Criteria:
MTM COLLATERAL ASSETS TABLE
Eligible MTM Collateral Class
Margin Percentage
[]
[]
[Repeat rows as necessary]
(g)
Static
Collateral
Percentage:
(h)
Collateral Trigger Event:
Specified
[specify]
[Applicable] [Not Applicable]
(If not applicable, delete the remaining provisions of
this sub-paragraph).
[For the purposes of the definition of "Collateral
Trigger Event" in Secured Static/Floating W&C
Instruments Condition 8.2, ["less than the Collateral
Trigger Level"/"less than or equal to the Collateral
Trigger Level"] is applicable.]
42.
(i)
Collateral Trigger Level:
[specify]
(ii)
Collateral Trigger
Observation Day:
[As specified in Secured Static/Floating W&C
Instruments Condition 9.2] / [specify other]
- Specified Business Hours:
[As specified in Secured Static/Floating W&C
Instruments Condition 9.2] / [specify other]
(iii) Collateral Trigger
Observation Period:
[specify]
(iv) Relevant Screen Page:
[specify]
Secured Fully Floating
Instruments Conditions:
W&C
[Applicable in accordance with Annex 14] [Not
applicable]
(If not applicable, delete the remaining provisions of
223
Form of Final Terms of the W&C Instruments
this section).
(a)
Collateral Valuation at Nominal
Value:
[Applicable] [Not Applicable]
(b)
Collateral Valuation Currency:
[specify]
(c)
Collateralisation Percentage:
[specify]
(d)
Order of Priority:
[Standard Order of Priority as defined in Annex 14]
[(a),[specify alternative order of sub-paragraphs (b)
– (e) as needed]].
(e)
Physical Delivery of Collateral
Assets:
[Applicable] [Not Applicable]
Eligibility Criteria:
[Applicable. Only Initial Collateral Assets are
Eligible] [Applicable. In respect of each Eligible
Collateral Class, as specified in the relevant row of
the Collateral Assets Table below:]
(f)
(N.B. In respect of any Secured W&C Instruments
which are Rule 144A Warrants, Physical Delivery of
Collateral Assets shall not apply)
COLLATERAL ASSETS TABLE
Eligible Collateral Class
Margin Percentage
[]
[Concentration Limit]
[]
[Repeat rows as necessary]
(g)
Type of Collateralisation:
[MV Collateralisation] [NV Collateralisation] [Min
(MV, NV) Collateralisation] [Max (MV, NV)
Collateralisation]
PROVISIONS FOR PHYSICAL DELIVERY
43.
Relevant Asset(s):
[●]
44.
Entitlement:
The Entitlement (as defined in Condition 4) in
relation to each W&C Instrument is [●]
[The Entitlement will be evidenced and delivered in
accordance with [Condition 24(C)(b) (for Warrants)]
[Condition 30(A) (for Certificates)] [Specify other]]
(N.B. paragraphs 43 - 44 only applicable in relation
to Physical Delivery W&C Instruments that are not
Credit Linked W&C Instruments)
45.
Guaranteed
Amount:
Cash
Settlement
46.
Failure to Deliver due to Illiquidity:
[The Guaranteed Cash Settlement Amount is
calculated [as specified in Condition 3] [as specified
in Credit Linked W&C Condition 5] [specify other
calculation method]]
[Applicable] [Not Applicable]
224
Form of Final Terms of the W&C Instruments
(N.B. May only be applicable to Physical Delivery
W&C Instruments other than Credit Linked W&C
Instruments)
GENERAL
47.
Form of W&C Instruments:
[The W&C Instruments are to be issued into and
transferred through Euroclear and Clearstream,
Luxembourg]
[Euroclear/CBL
Global
Registered
Warrant
exchangeable for Definitive Registered Warrants in
the limited circumstances described in the
Euroclear/CBL Global Registered Warrant]
[Euroclear/CBL Global Registered Certificate
exchangeable for Definitive Registered Certificates
in the limited circumstances described in the
Euroclear/CBL Global Registered Certificate]
OR
[The W&C Instruments are to be issued into and
transferred through Clearstream, Frankfurt]
[CBF Global Warrant]
[CBF Global Certificate]
OR
[The Warrants are eligible for sale in the United
States to QIBs who are also QPs or to, or for the
account or benefit of, United States Persons who are
QIBs and also QPs]
[Regulation S/Rule 144A Global Warrant in
registered form exchangeable for Definitive
Registered Warrants in the limited circumstances
described in the Regulation S/Rule 144A Global
Warrant] [Rule 144A Global Warrant in registered
form exchangeable for Definitive Registered
Warrants in the limited circumstances described in
the Rule 144A Global Warrant]
[The provisions of "Annex 11 – Additional Terms
and Conditions for Rule 144A Warrants" shall apply]
OR
[The Swedish W&C Instruments are to be issued into
and cleared through the Swedish CSD]
[The Swedish W&C Instruments will be issued in
dematerialised and uncertificated book-entry form in
accordance with the Swedish Financial Instruments
Accounts Act (in Swedish: lag (1998:1479) om
kontoföring av finansiella instrument) and the
Swedish CSD Rules]
OR
225
Form of Final Terms of the W&C Instruments
[The Finnish W&C Instruments are to be issued into
and cleared through Euroclear Finland]
[The Finnish W&C Instruments will be issued in
dematerialised and uncertificated book-entry form in
accordance with the Finnish Act on the Book-Entry
System and Clearing Operations (in Finnish: laki
arvo-osuusjärjestelmästä ja selvitystoiminnasta
(749/2012)), the Finnish Act on Book-Entry
Accounts (in Finnish: laki arvo-osuustileistä
(827/1991)) and the Euroclear Finland Rules]
OR
[The W&C Instruments are to be issued into and
transferred through SIS]
[Swiss Warrants in uncertificated form exchangeable
for Swiss Definitive Registered Warrants (i) at the
option of the Issuer upon the occurrence of a SIS
Exchange Event or (ii) at the option of the Swiss
Programme Agent if the Swiss Programme Agent
determines that such exchange is necessary or useful
or that the presentation of Warrants in definitive form
is required by Swiss or foreign laws or regulations in
connection with the enforcement of rights.]1
[Swiss Warrants in uncertificated form exchangeable
for Swiss Definitive Registered Warrants at the
option of the Issuer upon the occurrence of a SIS
Exchange Event.]2
[Holders do not have the right to effect or demand
the conversion of the uncertificated securities into, or
the delivery of, Swiss Definitive Registered
Warrants.]3
[Swiss
Certificates
in
uncertificated
form
exchangeable for Swiss Definitive Registered
Certificates (i) at the option of the Issuer upon the
occurrence of a SIS Exchange Event or (ii) at the
option of the Swiss Programme Agent if the Swiss
Programme Agent determines that such exchange is
necessary or useful or that the presentation of
Certificates in definitive form is required by Swiss or
foreign laws or regulations in connection with the
enforcement of rights.]4
[Swiss
Certificates
in
uncertificated
form
exchangeable for Swiss Definitive Registered
Certificates at the option of the Issuer upon the
occurrence of a SIS Exchange Event.]5
1
Include in the case of Warrants issued in the form of uncertificated securities and listed on SIX Swiss Exchange.
2
Include in the case of Warrants in the form of uncertificated securities and issued into and transferred through accounts at SIS, but not
listed on SIX Swiss Exchange.
3
Include in the case of Warrants issued in the form of uncertificated securities listed on SIX Swiss Exchange and/or issued into and
transferred through accounts at SIS.
4
Include in the case of Certificates issued in the form of uncertificated securities and listed on SIX Swiss Exchange.
5
Include in the case of Certificates in the form of uncertificated securities and issued into and transferred through accounts at SIS, but
not listed on SIX Swiss Exchange.
226
Form of Final Terms of the W&C Instruments
[Holders do not have the right to effect or demand
the conversion of the uncertificated securities into, or
the delivery of, Swiss Definitive Registered
Certificates.]1
48.
Eligibility for sale in the United
States to QIBs who are also QPs or
to, or for the account or benefit of,
United States Persons who are
QIBs and also QPs:
The W&C Instruments are [not] eligible for sale in
the United States to QIBs who are also QPs, or to, or
for the account or benefit of, United States Persons
who are QIBs and also QPs.
[Where Rule 144A Warrants are eligible for sale (a)
in the United States to QIBs who are also QPs, or (b)
to, or for the account or benefit of, United States
Persons who are QIBs and also QPs, include the
following:
1
(a)
[the Rule 144A Global Warrant will be held
with [the U.S. Warrant Agent as custodian for
DTC]
[the
Common
Depositary]]/[the
Regulation S/Rule 144A Global Warrant will
be held with the Common Depositary];
(b)
the Warrants [may] [may not] be sold
concurrently outside the United States to nonUnited States Persons [(such Warrants to be
represented by a Regulation S/Rule 144A
Global Warrant and deposited with the
Common Depositary)];
(c)
any resale or other transfer of any beneficial
interest in the Warrants represented by the
[Rule 144A Global Warrant] [Regulation
S/Rule 144A Global Warrant] in the United
States or to, or for the account or benefit of, a
United States Person may only be effected to
or through the Issuer or the Dealer if such
person is a QIB/QP that executes and delivers
an Investor Representation Letter for the
benefit of the Dealer, the Issuer and the
Guarantor (if applicable) (together with their
respective affiliates and any persons
controlling, controlled by or under common
control with such Dealer, Issuer or Guarantor
(if applicable)) and subject to the satisfaction
of certain other conditions for such Warrants.
See "Notice to Purchasers and Holders of
Instruments and Transfer Restrictions" in the
Offering Circular;
(d)
[insert applicable U.S. selling restrictions and
specify details of any transfer restrictions and
any necessary certifications, if different from
those set out in the Terms and Conditions]; and
Include in the case of Certificates in the form of uncertificated securities and listed on SIX Swiss Exchange and/or issued into and
transferred through accounts at SIS.
227
Form of Final Terms of the W&C Instruments
(e)
[specify any amendments to the form of
Exercise Notice (the form of which is set out in
a schedule to the English Law Agency
Agreement)].
49.
Payment Day (Condition 6(B)):
[Following] [Modified Following]
50.
Additional Financial Centre(s) or
other special provisions relating to
Payment Days:
[Not Applicable] [give details] (Consider whether
New York should be specified in the case of Rule
144A Warrants with a Settlement Currency other
than U.S. dollars)
51.
Payment Disruption (Condition
6(C)):
[Payment Disruption Event is applicable] [CNY
Payment Disruption Event is applicable] [Not
Applicable] [specify other]
[If CNY Payment Disruption Event is applicable,
include the following:
Where "CNY Settlement Centre" means [the Hong
Kong Special Administrative Region] [●]]
(Generally, Payment Disruption Event should be
applicable for Saudi Share Linked Warrants)
(a)
Base Currency/Subject
Currency:
[As specified under paragraph 34] [insert if FX
Linked Provisions are not specified to be applicable]
(for Saudi Share Linked Warrants, specify
[Settlement Currency] [Saudi Arabian Riyal]
[Currency of the Shares])]
(b)
Payment of Equivalent
Amount:
[Applicable] [Not Applicable]
(Payment of Equivalent Amount will only be
applicable if CNY Payment Disruption Event is
applicable)
[If Payment of Equivalent Amount is applicable,
include the following:
Equivalent Amount Settlement Rate: [As specified in
Condition 6(C)] [specify other]
52.
Other terms:
[Not Applicable] [give details]
DISTRIBUTION
53.
The initial purchasers and name of
applicable permitted dealer in the
United States of the Warrants:
[The dealer for the Warrants is [name of applicable
permitted dealer in the United States], acting as
principal. [Name of applicable permitted dealer in
the United States] does not receive any compensation
for the sales in which it participates.] [Not
Applicable]
(Applicable where Rule 144A Warrants are eligible
for sale (a) in the United States to QIBs who are also
QPs or (b) to, or for the account or benefit of, United
States Persons who are QIBs and also QPs)]
54.
Method of distribution:
[Syndicated] [Non-Syndicated]
228
Form of Final Terms of the W&C Instruments
55.
(a)
If syndicated, names and
addresses of Managers:
[Not Applicable] [give names and addresses]
(b)
Date of Subscription
Agreement:
[●]
If non-syndicated, name
address of relevant Dealer:
and
[Not Applicable] [give name and address]
[Merrill Lynch International
2 King Edward Street
London EC1A 1HQ
United Kingdom]
56.
Total commission and concession:
[●] [Not Applicable]
57.
U.S. Selling Restrictions:
[Insert in the case of W&C Instruments other than
Rule 144A Warrants or Regulation S/Rule 144A
Global Warrants: The W&C Instruments may not be
offered, sold, resold, traded, pledged, exercised,
redeemed, transferred or delivered, directly or
indirectly, in the United States or to, or for the
account or benefit of, any United States Person. A
"United States Person" means a person which is a
"U.S. person" as defined by Regulation S under the
U.S. Securities Act of 1933, as amended, or a
"United States person" as defined by Section
7701(a)(30) of the U.S. Internal Revenue Code of
1986, as amended, and in U.S. Treasury regulations.]
[Insert in the case of Rule 144A Global Warrants:
The Warrants are eligible for sale to qualified
institutional buyers (as defined in Rule 144A of the
U.S. Securities Act of 1933, as amended) who are
also qualified purchasers (within the meaning of
Section 3(c)(7) and as defined in Section 2(a)(51) of
the U.S. Investment Company Act of 1940, as
amended) (a "QIB"/"QP"), and such Warrants may
only be subsequently offered, sold, resold, traded,
pledged, exercised, redeemed, transferred or
delivered, directly or indirectly, by such investors to
a QIB/QP who executes an Investor Representation
Letter and otherwise in compliance with Rule 144A.]
[Insert in the case of Regulation S/Rule 144A Global
Warrants: The Warrants are eligible for sale either
(a) in an offshore transaction to investors who are not
United States Persons, and such Warrants may not be
offered, sold, resold, traded, pledged, exercised,
redeemed, transferred or delivered, directly or
indirectly, in the United States or (b) to investors
who are qualified institutional buyers (as defined in
Rule 144A of the U.S. Securities Act of 1933, as
amended (the "Securities Act")) and who are also
qualified purchasers (within the meaning of Section
3(c)(7) and as defined in Section 2(a)(51) of the U.S.
Investment Company Act of 1940, as amended) (a
"QIB"/"QP"), and such Warrants may only be
subsequently offered, sold, resold, traded, pledged,
exercised, redeemed, transferred or delivered,
directly or indirectly, by such investors to a QIB/QP
who executes an Investor Representation Letter and
229
Form of Final Terms of the W&C Instruments
otherwise in compliance with Rule 144A. A "United
States Person" means a person which is a "U.S.
person" as defined by Regulation S under the
Securities Act or a "United States person" as defined
by Section 7701(a)(30) of the U.S. Internal Revenue
Code of 1986, as amended, and in U.S. Treasury
regulations.]
58.
Additional U.S. Tax
Considerations:
[Not Applicable] [give details]
59.
Additional selling restrictions:
[Not Applicable] [give details]
PURPOSE OF FINAL TERMS
These Final Terms comprise the Final Terms required for issue [and] [admission to trading on [specify
relevant market (for example, the Euro MTF of the Luxembourg Stock Exchange) and, if relevant,
admission to an official list (for example, the Official List of the Luxembourg Stock Exchange)] [listing
on SIX Swiss Exchange and admission to trading on SIX Structured Products Exchange] of the W&C
Instruments described herein pursuant to the Note, Warrant and Certificate Programme of Bank of
America Corporation, Merrill Lynch B.V. and Merrill Lynch International & Co. C.V.
RESPONSIBILITY
[[Subject as provided below,] the Issuer accepts responsibility for the information contained in these
Final Terms.] [The information relating to [●] [and [●]] contained herein has been accurately extracted
from [insert information source(s)]. The Issuer accepts responsibility for the accuracy of such
extraction but accepts no further or other responsibility in respect of such information.]1
[Each of the Issuer and the Guarantor confirms that the information contained in these Final Terms is,
to the best of its knowledge, correct, and that no material facts or circumstances have been omitted
from the listing prospectus consisting of these Final Terms and the Offering Circular, as supplemented
as of the date of these Final Terms.]2
[The information set out in Part C has been extracted from publicly available information. Each of the
Issuer and the Guarantor confirms that such information has been accurately reproduced and that, so far
as it is aware, and is able to ascertain from information by the source(s) specified in Part C, no facts
have been omitted in these Final Terms which would render the information in these Final Terms
inaccurate or misleading.]3
Signed on behalf of the Issuer:
[Signed on behalf of the Guarantor:
By:
...........................
By: ...........................
Duly authorised
Duly authorised]4
1
Include for all W&C Instruments (including Swiss W&C Instruments) not listed on SIX Swiss Exchange.
2
Include for W&C Instruments listed on SIX Swiss Exchange.
3
Include for W&C Instruments listed on SIX Swiss Exchange.
4
Include for W&C Instruments listed on SIX Swiss Exchange.
230
Form of Final Terms of the W&C Instruments
PART B – OTHER INFORMATION
1.
LISTING AND ADMISSION TO TRADING
Listing and Admission to trading:
(N.B. W&C Instruments with over
364 days between Issue Date and
Settlement Date and which are sold to
UK investors must be listed on a
"recognised stock exchange".)
(Where documenting a fungible issue
need to indicate that original
instruments are already admitted to
trading.)
[Not Applicable] [Application [has been]/[will be]/[is
expected to be] made by the Issuer (or on its behalf)
for the W&C Instruments to be [admitted to trading
on the Luxembourg Stock Exchange's Euro MTF and
listed on the Official List of the Luxembourg Stock
Exchange] [specify other listing or admission to
trading] [with effect from, at the earliest the Issue
Date. No assurances can be given that such
application for listing will be granted, (or if granted,
will be granted by the Issue Date)]
[Application will be made to trade and list the W&C
Instruments on SIX Structured Products Exchange
and SIX Swiss Exchange, respectively, provided that
no assurance can be given that the W&C Instruments
will be admitted to trading on SIX Structured
Products Exchange or listed on SIX Swiss Exchange
on the Issue Date or any specific date thereafter.]
[The Issuer has no duty to maintain the listing (if
any) of the W&C Instruments on the relevant stock
exchange(s) over their entire lifetime.
W&C
Instruments may be suspended from trading and/or
de-listed at any time in accordance with applicable
rules and regulations of the relevant stock
exchange(s) [, provided, however, that, in the case of
a Series that is listed on SIX Swiss Exchange, the
W&C Instruments of such Series shall be de-listed
with respect to SIX Swiss Exchange, without any
further action, if (i) the Issuer or any of its affiliates
has prepaid, repaid, repurchased, redeemed or
otherwise acquired or holds all the W&C Instruments
of such Series and (ii) the Issuer has published or
caused to be published a notice stating that such
W&C Instruments have been de-listed with respect to
SIX Swiss Exchange in accordance with W&C
Instruments Condition 12]1.]
W&C Instruments admitted to trading on SIX Structured Products Exchange and listed on SIX
Swiss Exchange only:
1
(i)
First SIX Structured Products
Exchange Trading Day:
[●] [Anticipated to be the Issue Date]
(ii)
Last SIX Structured Products
Exchange Trading Day:
[●] [trading on SIX Structured Products Exchange
until official close of trading on SIX Structured
Products Exchange on that day]
(iii)
Swiss Paying Agent:
[BNP Paribas Securities Services, Paris, succursale
de Zurich] [insert name]
(iv)
Minimum Trading Size:
[●]
Include for W&C Instruments listed on SIX Swiss Exchange.
231
Form of Final Terms of the W&C Instruments
(v)
Payment Date:
[Issue Date]]
(vi)
Level of Capital Protection:
[Not Applicable] [[] per cent.]
2.
OPERATIONAL INFORMATION
(i)
ISIN:
[The ISIN is set out in "Specific Provisions for each
Series" above.]
(ii)
Common Code:
[The Common Code is set out in "Specific Provisions
for each Series" above.]
(iii)
[Swiss
Securities
(Valorennummer)
(iv)
[Ticker Symbol (SIX):
(v)
Wertpapierkennnummer
(German Security Code):
(WKN)
[The WKN is set out in "Specific Provisions for each
Series" above.]
(vi)
Mnemonic (insert in case of a listing
on Euronext Paris S.A.):
[The Mnemonic is set out in "Specific Provisions for
each Series" above.]
(vii)
[(insert here any other relevant codes
such as CUSIP and CNS codes)]:
[●]
(viii)
Clearing System(s):
[Euroclear Bank SA/NV] [and] [Clearstream
Banking, société anonyme] [Clearstream Banking
AG, Frankfurt am Main] [DTC] [Euroclear Sweden,
Klarabergsviadukten 63, Box 191, SE-101 23
Stockholm, Sweden/specify other duly authorised
Swedish central securities depository under the
Swedish CSD Rules] [Euroclear Finland, Ltd] [SIX
SIS AG]
(ix)
Any clearing system(s) other than
Euroclear Bank SA/NV, Clearstream
Banking,
société
anonyme,
Clearstream Banking AG, Frankfurt
am Main, DTC, Euroclear Sweden or
any duly authorised Swedish central
securities depository under the
Swedish CSD Rules, Euroclear
Finland, Ltd and SIX SIS AG and the
relevant identification number(s):
[Not Applicable] [give name(s) and number(s)]
(x)
Names and addresses
Instrument Agents:
[Bank of America, N.A. (operating through its
London Branch)
2 King Edward Street
London EC1A 1HQ
United Kingdom]3
Number
[●]]1
[●]]2
of
initial
1
Only applicable to W&C Instruments cleared through SIS.
2
Only applicable to W&C Instruments listed on SIX Swiss Exchange.
3
Include in the case of all W&C Instruments except Swedish W&C Instruments, Finnish W&C Instruments and Swiss W&C
Instruments.
232
Form of Final Terms of the W&C Instruments
[Bank of America, N.A.
135 South LaSalle Street
Chicago, IL 60603
United States of America]1
[BNP Paribas Securities Services S.C.A., Frankfurt
Branch
Zweigniederlassung
Europa-Allee 12
60327 Frankfurt am Main
Germany]2
[Skandinaviska Enskilda Banken AB (publ)
Kungsträdgårdsgatan 8
SE-10640 Stockholm
Sweden]3
[Skandinaviska Enskilda Banken AB (publ), Helsinki
Branch
Unioninkatu 30
00100 Helsinki
Finland]4
[BNP Paribas Securities Services, Paris, succursale
de Zurich
Selnaustrasse 16
CH-8002 Zurich
Switzerland]5
(xi)
Registrar:
[Merrill Lynch Equity S.à.r.l.
Atrium Business Park
33 Rue du Puits Romain
Bertrange L-8070
Luxembourg]6
[Not Applicable]
3.
[FORM OF NOTICE
INTERMEDIARY]
FROM
4.
[ADDITIONAL INFORMATION7
BENEFICIAL
OWNER
TO
FINANCIAL
Publications: Any notices or publications to be made to holders will be made [for so long as
the W&C Instruments are listed on SIX Swiss Exchange, (i) by means of electronic
publication on the internet website of SIX Swiss Exchange (www.six-swiss-exchange.com,
where notices are currently published under the address [www.six-swissexchange.com/news/official_notices/search_en.html]), or (ii) otherwise in accordance with the
rules of SIX Swiss Exchange.]8 [by publishing the relevant notice, publication or, in case of
1
Include in the case of Rule 144A Warrants.
2
Include in the case of W&C Instruments clearing through Clearstream, Frankfurt.
3
Include in the case of Swedish W&C Instruments.
4
Include in the case of Finnish W&C Instruments.
5
Include in the case of W&C Instruments clearing through SIS.
6
Include in the case of all Registered W&C Instruments.
7
Include for W&C Instruments that are Swiss W&C Instruments, as applicable.
8
Include for W&C Instruments listed on SIX Swiss Exchange.
233
Form of Final Terms of the W&C Instruments
amendments or corrections in accordance with W&C Instruments Condition 10, the amended
or corrected Final Terms [on the following website] [in the following newspaper]: [●].]1
[Representatives [(for purposes of article 43 of the Listing Rules of SIX Swiss
Exchange)]: [●] (for purposes of documentation) and [●] (for purposes of clearing and
settlement).]2
[No Material Adverse Change: Save as disclosed in the Offering Circular (including any
documents incorporated by reference therein), there has been no material adverse change, nor
any event involving a prospective material adverse change, in the assets and liabilities,
financial position or profit and losses of the Issuer or the Guarantor since [insert date of the
most recently published audited annual or unaudited interim financial statements].]3]
Collateralisation: [Not Applicable] [Applicable] [The W&C Instruments are collateralised in
accordance with the terms of the SIX Swiss Exchange «Framework Agreement for CollateralSecured Instruments (COSI)» (the "Framework Agreement"). The Issuer and Merrill Lynch
Capital Markets AG, Zurich, Switzerland (the "Swiss COSI Collateral Provider") have
entered into the Framework Agreement on 24 May 2012 and the Swiss COSI Collateral
Provider undertakes to secure the Current Value of the W&C Instruments in favour of SIX
Swiss Exchange. The legal position of the investors in relation to the collateralisation of the
W&C Instruments is determined by the provisions of the Framework Agreement. The core
elements of the collateralisation are summarised in a SIX Swiss Exchange information sheet,
which is available at «www.six-swiss-exchange.com». The Issuer shall, upon request, provide
the Framework Agreement to the investors free of charge in the German version or in an
English translation. A copy of the Framework Agreement may be obtained from Merrill
Lynch Capital Markets AG, Stockerhof, Stockerstrasse 23, 8002 Zurich, Switzerland via
telephone +41 44 297 75 93, fax +41 44 291 33 41 or via e-mail: dg.ogc_zurich@baml.com.]
1
Include for Swiss W&C Instruments which are not listed on SIX Swiss Exchange.
2
Include for W&C Instruments listed on SIX Swiss Exchange.
3
Include for W&C Instruments listed on SIX Swiss Exchange.
234
Form of Final Terms of the W&C Instruments
[Include this part only in respect of W&C Instruments listed on SIX Swiss Exchange]
PART C – ADDITIONAL INFORMATION RELATING TO THE REFERENCE ITEM(S)
The information included herein with respect to the Reference Item(s) consist(s) only of extracts from,
or summaries of, publicly available information. The Issuer accepts responsibility that such
information has been correctly extracted or summarised. No further or other responsibility in respect
of such information is accepted by the Issuer, the Guarantor, [the Arranger] or any other Dealer. In
particular, none of the Issuer, the Guarantor, [the Arranger] and any [other] Dealer accepts
responsibility in respect of the accuracy or completeness of the information set forth herein concerning
the Reference Item(s) or that there has not occurred any event which would affect the accuracy or
completeness of such information. The information included below relates to the period up to the date
of these Final Terms and has not been updated since.
General information with respect to the Reference Item(s)
General designation or description of the Reference Item(s)
[[●] Insert description for each Reference Item]
[where applicable:] [Company name and domicile of the issuer of the Reference Item(s)]
[[●] Where applicable, insert company name and domicile of the issuer of the Reference Item
for each Reference Item]
ISIN of the Reference Item(s) [if the ISIN is not available, then an alternative unique identifier is
required]
[[●] Insert ISIN or alternative unique identifier for each Reference Item]
Information on what source of the Reference Items' price is used as a basis for the price of the W&C
Instruments
[[●] If the Reference Item(s) is/are trading on a stock exchange, the name of this exchange
must be given. Information must otherwise be given on where the price-setting mechanism for
the Reference Item(s) is/are available to the public]
Information on which price for the Reference Item(s) is material in establishing the price of the W&C
Instruments
[[●] Insert relevant price, e.g. closing price, arithmetical mean price over a specific period]
Details of where information on the past performance of the Reference Item(s) can be obtained
[[●] Insert relevant details/sources]
[Additional information for W&C Instruments on equity or debt securities:]
[if delivery of the Reference Item(s) is planned:] [Transferability of the Reference Item(s), any
restrictions on tradability of the Reference Item(s)[, and the type of security]]
[[●] Give information on the transferability of the Reference Item(s), insert any restrictions on
tradability of the Reference Item(s), and specify the type of security in the case of shares, e.g.
registered paper]
Information on where the latest annual reports for the issuer of the Reference Item(s) may be obtained
free of charge for the term of the W&C Instruments
[[●] Insert relevant details/sources]
[Additional information for W&C Instruments on collective investment schemes:]
235
Form of Final Terms of the W&C Instruments
Information on the fund management or issuing company, and details of the composition or investment
universe of the relevant collective investment scheme
[[●] Insert information on the fund management or issuing company, and details of the
composition or investment universe of the relevant collective investment scheme]
[The collective investment scheme has been authorised by the Swiss Financial Market Supervisory
Authority FINMA for sale in or from Switzerland.] [The collective investment scheme has not been
authorised by the Swiss Financial Market Supervisory Authority FINMA for sale in or from
Switzerland.]
[Additional information for W&C Instruments on indices:]
Name of the agency that calculates and publishes the index (index sponsor), and source where
information on the method of calculation is available
[[●] Insert relevant index sponsor and the source where information on the method of
calculation is available to the public]
Details of where information on the component securities and any modifications to composition are
available
[[●] Give details of where information on the [component securities] and any modifications to
composition are available to the public, specifically where and when such adjustments are
announced]
[The index is a price index.] [The index is a performance (total return) index.]
[Additional information for W&C Instruments on standardised options and futures contracts:]
Contract months, including the duration and the expiry[, or information on the roll-over mechanism]
[[●] Insert relevant details re contract months, including the duration and the expiry, or
information on the roll-over mechanism, e.g. roll-over to the corresponding front-end future
contract]
Contract unit and price quotation
[[●] Insert contract unit and price quotation]
[Additional information for W&C Instruments on baskets of Reference Items:]
Initial fixing plus the percentage [and shares] of the initial weighting of basket securities
[[●] Insert initial fixing plus the percentage and, where appropriate, shares of the initial
weighting of basket securities]
Permitted parameters for the composition of the basket
[[●] if the composition of the basket is subject to predefined or discretionary modifications,
then the permitted investment universe must be defined]
236
Form of Final Terms of the W&C Instruments
[Schedule – Index Disclaimer
[Include applicable disclaimer, if any]]
237
Form of Final Terms of the W&C Instruments
ANNEX
[This Annex shall be included after publication of any supplement to the Offering Circular.]
The Offering Circular dated 24 January 2017 has been supplemented by the following supplement(s):
Supplement
Description
Date
Supplement No. [●]
In respect of [insert short description of
content]
[●]
238
Terms and Conditions of the W&C Instruments
TERMS AND CONDITIONS OF THE W&C INSTRUMENTS
The following is the text of the Terms and Conditions of the W&C Instruments which will apply to
each issue of W&C Instruments and which will include the Additional Terms and Conditions (as
defined below) if and to the extent specified in the applicable Final Terms.
The Series of W&C Instruments described in the applicable Final Terms (insofar as it relates to such
Series of W&C Instruments) (such W&C Instruments being hereinafter referred to as the "W&C
Instruments") are issued by whichever of Merrill Lynch B.V. ("MLBV") or Merrill Lynch
International & Co. C.V. ("MLICo.") is specified as the Issuer in the applicable Final Terms (the
"Issuer") and references to the Issuer shall be construed accordingly. W&C Instruments will be either
warrants ("Warrants") or certificates ("Certificates"), as specified in the applicable Final Terms, and
references in these Terms and Conditions to "W&C Instrument", "W&C Instruments", "Warrant",
"Warrants", "Certificate" and "Certificates" will be construed accordingly.
MLBV shall only issue Certificates and MLICo. may issue Warrants and Certificates.
The W&C Instruments are issued pursuant to an Amended and Restated English Law Agency
Agreement dated 10 May 2016 (such agency agreement as amended and/or supplemented and/or
restated from time to time, the "English Law Agency Agreement") which is governed by English law
among, inter alios, MLBV, MLICo., Bank of America Corporation ("BAC" or the "Guarantor") as
guarantor, Bank of America, N.A. (operating through its London Branch) as principal paying agent (in
such capacity, the "Principal Paying Agent"), Bank of America, N.A. (operating through its London
Branch) as principal warrant agent (in such capacity, the "Principal Warrant Agent"), Bank of
America, N.A. as U.S. warrant agent (in such capacity, the "U.S. Warrant Agent"), BNP Paribas
Securities Services S.C.A., Frankfurt Branch as Frankfurt warrant agent (in such capacity, the
"Frankfurt Warrant Agent"), Bank of America, N.A. (operating through its London Branch) as
principal certificate agent (in such capacity, the "Principal Certificate Agent", which expression shall
include any successor principal certificate agent), BNP Paribas Securities Services S.C.A., Frankfurt
Branch as Frankfurt Certificate Agent (in such capacity, the "Frankfurt Certificate Agent"),
Skandinaviska Enskilda Banken AB (publ) as Swedish instrument agent (in such capacity, the
"Swedish Instrument Agent"), Skandinaviska Enskilda Banken AB (publ), Helsinki Branch as
Finnish instrument agent (in such capacity, the "Finnish Instrument Agent"), BNP Paribas Securities
Services, Paris, succursale de Zurich as Swiss programme agent (in such capacity, the "Swiss
Programme Agent") and Merrill Lynch Equity S.à.r.l. as registrar in respect of Warrants and
Certificates.
In connection with each issue of Warrants, references herein to the "Principal Instrument Agent" and
the "Frankfurt Instrument Agent" shall be deemed to be references to the Principal Warrant Agent
and the Frankfurt Warrant Agent, respectively, where the context permits and references to
"Instrument Agents" shall be deemed to be references to such agents, the U.S. Warrant Agent, the
Swedish Instrument Agent, the Finnish Instrument Agent and the Swiss Programme Agent and any
additional or successor to such agents appointed pursuant to the English Law Agency Agreement
collectively.
In connection with each issue of Certificates, references herein to the "Principal Instrument Agent"
and the "Frankfurt Instrument Agent" shall be deemed to be references to the Principal Certificate
Agent and the Frankfurt Certificate Agent, respectively, where the context permits and references to
"Instrument Agents" shall be deemed to be references to such agents, the Swedish Instrument Agent,
the Finnish Instrument Agent and the Swiss Programme Agent and any additional or successor to such
agents appointed pursuant to the English Law Agency Agreement collectively.
Merrill Lynch International shall undertake the duties of calculation agent (the "Calculation Agent")
in respect of the W&C Instruments unless another entity is so specified as the calculation agent in the
applicable Final Terms. The expression Calculation Agent shall, in relation to the relevant W&C
Instruments, include such other specified calculation agent.
The applicable Final Terms (the "Final Terms") for the W&C Instruments supplement these Terms
and Conditions (the "Terms and Conditions", or the "Conditions") and may specify other terms and
conditions which shall, to the extent so specified or to the extent inconsistent with these Terms and
Conditions, supplement, replace or modify these Terms and Conditions for the purposes of the W&C
239
Terms and Conditions of the W&C Instruments
Instruments. References herein to the "applicable Final Terms" are to Part A (including, if applicable,
any annex or appendix thereto) of the Final Terms or each Final Terms (in the case of any further
instruments issued pursuant to Condition 14 (Further Issues) and forming a single Series with the
W&C Instruments) (which for the avoidance of doubt may be issued in respect of more than one Series
of W&C Instruments) attached to the Global W&C Instrument or to the Definitive W&C Instrument, as
the case may be, or constituting a part of such W&C Instruments and made available as provided in the
preceding paragraph insofar as it relates to the W&C Instruments.
The additional Terms and Conditions (the "Additional Terms and Conditions") contained in Annex 1
in the case of Index Linked W&C Instruments, Annex 2 in the case of Share Linked W&C Instruments,
Annex 3 in the case of Low Exercise Price Warrants, Annex 4 in the case of GDR/ADR Linked W&C
Instruments, Annex 5 in the case of FX Linked W&C Instruments, Annex 6 in the case of Commodity
Linked W&C Instruments, Annex 7 in the case of Fund Linked W&C Instruments, Annex 8 in the case
of Inflation Linked W&C Instruments, Annex 9B in the case of Credit Linked W&C Instruments,
Annex 11 in the case of Rule 144A Warrants, Annex 12 in the case of Saudi Share Linked Warrants ,
and/or Annex 13 in the case of Secured Static/Floating W&C Instruments or Annex 14 in the case of
Secured Fully Floating W&C Instruments (each as defined below) will apply to, and form part of the
Terms and Conditions of the W&C Instruments if and to the extent specified in the applicable Final
Terms.
Except in the case of Swiss W&C Instruments in uncertificated form, Swedish W&C Instruments and
Finnish W&C Instruments (each as defined below), the applicable Final Terms for the W&C
Instruments are attached to or incorporated by reference into the Global W&C Instrument or endorsed
on the Definitive W&C Instruments, as the case may be. In the case of Swiss W&C Instruments in
uncertificated form, Swedish W&C Instruments and Finnish W&C Instruments, the applicable Final
Terms (which for the avoidance of doubt may be issued in respect of more than one Series of Swedish
W&C Instruments or Finnish W&C Instruments) for the Swiss W&C Instruments in uncertificated
form, Swedish W&C Instruments or Finnish W&C Instruments, as applicable, will constitute a part of
such Instruments and will be available from Merrill Lynch International, 2 King Edward Street,
London EC1A 1HQ or, in the case of Swiss W&C Instruments in uncertificated form, the Swiss
Programme Agent.
"Series" means W&C Instruments which are identical in all respects (including as to listing and
admission to trading), together with any further W&C Instruments which are (i) expressed to be
consolidated and form a single series and (ii) identical in all respects (including as to listing and
admission to trading) except for their respective Issue Dates and/or Issue Prices.
Any reference to "W&C Instrumentholders" or "Holders" in relation to any W&C Instruments shall
mean the holders of the W&C Instruments.
Other than in respect of Swiss COSIs and the Secured W&C Instruments, the payment of all amounts
payable and/or delivery of non-cash consideration deliverable by the Issuer in respect of the W&C
Instruments are unconditionally and irrevocably guaranteed by BAC pursuant to the guarantee dated 10
May 2016, as executed by BAC (the "Non-COSI Guarantee") and, in respect of Swiss COSIs, the
payment obligations of MLICo. to the extent of any Shortfall (as defined below) for the relevant Series
of Swiss COSIs will be conditionally but irrevocably guaranteed by BAC pursuant to a guarantee to be
executed by BAC substantially in the form contained in "Form of Swiss COSI Guarantee" in the
Offering Circular dated 10 May 2016 (the "Swiss COSI Guarantee" and, together with the Original
Guarantee, the "Guarantees" and each a "Guarantee"). The original of the Non-COSI Guarantee is
held by Bank of America, N.A. (operating through its London Branch) at its specified office currently
at 2 King Edward Street, London EC1A 1HQ. The original of the Swiss COSI Guarantee will be held
by BNP Paribas Securities Services, Paris, succursale de Zurich at its specified office currently at
Selnaustrasse 16, CH-8002 Zurich, Switzerland. For the avoidance of doubt, the Secured W&C
Instruments issued by MLICo. are not guaranteed by BAC and Holders of such Secured W&C
Instruments will not be able to claim under the terms of either Guarantee for any unpaid amounts and
any such shortfall will not constitute an unsecured claim by such Holder of Secured W&C Instruments
against the Guarantor.
The W&C Instrumentholders are entitled to the benefit of the W&C Instruments Deed of Covenant (the
"W&C Instruments Deed of Covenant") dated 10 May 2016 and made by the Issuer. The original of
240
Terms and Conditions of the W&C Instruments
the W&C Instruments Deed of Covenant is held by a common depositary for Euroclear and
Clearstream, Luxembourg (each as defined below) (the "Common Depositary").
Copies of the English Law Agency Agreement (which contains the form of the Final Terms), the
Guarantees and the applicable Final Terms (subject as provided below) may be obtained during normal
office hours from the specified offices of the Instrument Agents, save that the applicable Final Terms
will only be obtainable by a Holder (as defined in Condition 1(B), or "Annex 11 – Additional Terms
and Conditions for Rule 144A Warrants" as applicable) holding one or more W&C Instruments and
such Holder must produce evidence satisfactory to the Issuer or the relevant Instrument Agent as to its
holding of such W&C Instruments and its identity or, with respect to W&C Instruments offered in
Switzerland, a Holder being a qualified investor as defined in the Swiss Federal Act on Collective
Investment Schemes. The Offering Circular and, in the case of W&C Instruments listed on SIX Swiss
Exchange, the applicable Final Terms, will be published on the website of the Issuer
(www.mlinvest.com).
The Holders are entitled to the benefit of and are deemed to have notice of and are bound by all the
provisions of the English Law Agency Agreement (insofar as they relate to the W&C Instruments) and
the applicable Final Terms, which are binding on them.
Words and expressions defined in the English Law Agency Agreement or used in the applicable Final
Terms shall have the same meanings where used in these Terms and Conditions unless the context
otherwise requires or unless otherwise stated and provided that, in the event of inconsistency between
the English Law Agency Agreement and the applicable Final Terms, the applicable Final Terms will
prevail.
1.
Type, Title and Transfer
(A)
Type
W&C Instruments may be issued in registered form ("Registered W&C Instruments") or
uncertificated or dematerialised form. Registered W&C Instruments will be represented by
Global W&C Instruments or Definitive W&C Instruments, in accordance with these Terms
and Conditions of the W&C Instruments. W&C Instruments to be issued into and transferred
through accounts at Clearstream, Frankfurt (as defined below) will be constituted by a Global
W&C Instrument (a "CBF Global W&C Instrument") in bearer form, provided, however,
that the W&C Instruments will be treated as in registered form for United States federal
income tax purposes.
The W&C Instruments relate to a specified Index or basket of Indices ("Index Linked W&C
Instruments"), a specified Share or basket of Shares ("Share Linked W&C Instruments"), a
specified American depositary receipt (an "ADR") and/or global depositary receipt (a "GDR")
representing interests in a share (the "Underlying Share") or basket of such GDRs and/or
ADRs ("GDR/ADR Linked W&C Instruments"), a specified currency or basket of
currencies ("FX Linked W&C Instruments"), a specified commodity or commodity index or
basket of commodities and/or commodity indices ("Commodity Linked W&C
Instruments"), a specified fund share or unit or basket of fund shares or units ("Fund Linked
W&C Instruments"), a specified inflation index ("Inflation Linked W&C Instruments"), a
specified share of a company listed on the Saudi Stock Exchange (Tadawul) or basket of such
shares ("Saudi Share Linked Warrants") or the credit of a specified reference entity or
reference entities ("Credit Linked W&C Instruments") or any other or further type of
instruments as is specified in the applicable Final Terms. The W&C Instruments issued by
MLICo. may be secured by a segregated pool of Collateral Assets (the "Secured W&C
Instruments"). The applicable Final Terms will specify which of the Additional Terms and
Conditions for Index Linked Instruments, the Additional Terms and Conditions for Share
Linked Instruments, the Additional Terms and Conditions for GDR/ADR Linked Instruments,
the Additional Terms and Conditions for FX Linked Instruments, the Additional Terms and
Conditions for Commodity Linked Instruments, the Additional Terms and Conditions for
Fund Linked Instruments, the Additional Terms and Conditions for Inflation Linked
Instruments, the Additional Terms and Conditions for Saudi Share Linked Warrants, the
Additional Terms and Conditions for Credit Linked W&C Instruments, the Additional Terms
and Conditions for Rule 144A Warrants, the Additional Terms and Conditions for Low
241
Terms and Conditions of the W&C Instruments
Exercise Price Warrants and/or the Additional Terms and Conditions for Secured
Static/Floating W&C Instruments or the Additional Terms and Conditions for Secured Fully
Floating W&C Instruments, in each case set out in the Annexes to these Conditions, apply to
the W&C Instruments.
The applicable Final Terms will indicate whether settlement shall be by way of cash payment
("Cash Settled W&C Instruments") or physical delivery ("Physical Delivery W&C
Instruments") and whether averaging ("Averaging") will apply to the W&C Instruments.
If Averaging is specified as applying in the applicable Final Terms, the applicable Final Terms
will state the relevant Averaging Dates and, in respect of Index Linked Instruments and Share
Linked Instruments, if an Averaging Date is a Disrupted Day, whether Omission,
Postponement or Modified Postponement applies.
References in these Terms and Conditions, unless the context otherwise requires, to Cash
Settled W&C Instruments shall be deemed to include references to Physical Delivery W&C
Instruments, which include an option (as set out in the applicable Final Terms) at the Issuer's
election to request cash settlement of such W&C Instrument and where settlement is to be by
way of cash payment, and references in these Terms and Conditions, unless the context
otherwise requires, to Physical Delivery W&C Instruments shall be deemed to include
references to Cash Settled W&C Instruments which include an option (as set out in the
applicable Final Terms) at the Issuer's election to request physical delivery of the relevant
underlying asset in settlement of such W&C Instrument and where settlement is to be by way
of physical delivery.
W&C Instruments may, if so specified and provided for in the applicable Final Terms, allow
Holders to elect for settlement by way of cash payment or by way of physical delivery or by
such other method of settlement as is specified in the applicable Final Terms. Those W&C
Instruments where the Holder has elected for cash payment will be Cash Settled W&C
Instruments and those W&C Instruments where the Holder has elected for physical delivery
will be Physical Delivery W&C Instruments. The rights of a Holder as described in this
paragraph may be subject to the Issuer's right to vary settlement if so indicated in the
applicable Final Terms.
(B)
Title to W&C Instruments
Subject as set out below, title to Registered W&C Instruments will, subject to mandatory rules
of law, pass by registration in the Register that the Issuer shall procure to be kept by the
Registrar in accordance with the provisions of the English Law Agency Agreement. Title to
W&C Instruments in uncertificated or dematerialised form will pass as described below for
each such type of W&C Instruments.
In the case of W&C Instruments that are represented by a Global W&C Instrument, each
person who is for the time being shown in the records of a Clearing System as the holder of a
particular number or nominal amount, as the case may be, of W&C Instruments (in which
regard any certificate or other document issued by such Clearing System as to the number or
nominal amount, as the case may be, of W&C Instruments standing to the account of any
person shall be conclusive and binding for all purposes save in the case of manifest or proven
error) shall be treated by the Issuer, the Guarantor and any Instrument Agent as the holder of
such number or nominal amount, as the case may be, of W&C Instruments for all purposes
other than (except in the case of CBF Global W&C Instruments) with respect to the payment
of principal or additional amounts on such number, or nominal amount, as the case may be, of
such W&C Instruments, for which purpose the person recorded in the Register shall be treated
by the Issuer, the Guarantor, the Registrar and any Instrument Agent as the Holder of such
number, or nominal amount, as the case may be, of such W&C Instruments in accordance with
and subject to the terms of the relevant W&C Instrument (and the expression "Holder" and
related expressions shall be construed accordingly).
In the case of Registered W&C Instruments that are represented by a Global W&C Instrument,
the Registrar will maintain the Register in accordance with the terms of the English Law
Agency Agreement. An individual certificate ("individual certificate") will be issued to each
242
Terms and Conditions of the W&C Instruments
holder of Definitive Registered Certificates in registered form in respect of its registered
holding. An individual warrant certificate ("individual warrant certificate") will be issued
to each holder of Definitive Registered Warrants in registered form in respect of its registered
holding. Each individual certificate and individual warrant certificate will be numbered
serially with an identifying number which will be recorded in the register. Each holder for the
time being registered in the Register (or in the case of a joint holding, the first named thereof)
shall be treated by the Issuer, the Guarantor, the Registrar and any Instrument Agent as the
Holder of such number, or nominal amount, as the case may be, of such W&C Instruments in
accordance with and subject to the terms of the relevant W&C Instrument (and the expression
"Holder" and related expressions shall be construed accordingly).
In the case of Swedish W&C Instruments, the holder of any such W&C Instrument will be the
person in whose name such W&C Instrument is registered in the Swedish Register in
accordance with the Swedish CSD Rules and the reference to a person in whose name a
Swedish W&C Instrument is so registered shall include any person duly authorised to act as a
nominee (in Swedish: förvaltare) and registered as such for the Swedish W&C Instruments
and except as ordered by a court of competent jurisdiction or as required by law, such holder
of such W&C Instrument shall be deemed to be and may be treated as its absolute owner for
all purposes, whether or not it is overdue and regardless of any notice of ownership, trust or an
interest in it and no person shall be liable for so treating such holder (and the expression
"Holder" and related expressions shall be construed accordingly). The Issuer shall be entitled
to obtain information from the Swedish Register in accordance with the Swedish CSD Rules.
In the case of Finnish W&C Instruments, the holder of any such W&C Instrument will be the
person in whose name such W&C Instrument is registered in the Finnish Register in
accordance with the Euroclear Finland Rules and the person in whose name a Finnish W&C
Instrument is so registered shall be deemed to include any person duly authorised to act as
nominee and registered as such for the Finnish W&C Instruments (and the expression
"Holder" and related expressions shall be construed accordingly). The Issuer shall make all
payments due under the Finnish W&C Instruments to their Holders registered in the Finnish
Register, in accordance with the Euroclear Finland Rules, and shall thereby be discharged
from its obligations to the Holders under such Finnish W&C Instruments. Title to Finnish
W&C Instruments shall pass by transfer from a Holder's book-entry securities account to
another book-entry securities account within the Finnish Register (except where the Finnish
W&C Instruments are nominee-registered and are transferred from one sub-account to another
with the same nominee). The Issuer and the Finnish Instrument Agent shall be entitled to
obtain information on Holders and other information from the Finnish Register in accordance
with the Euroclear Finland Rules.
In the case of Swiss W&C Instruments issued in the form of uncertificated securities and
entered into the main register (Hauptregister) of SIS and entered into the accounts of one or
more participants of SIS, (a) such Swiss W&C Instruments will constitute intermediated
securities (Bucheffekten) within the meaning of the Swiss Federal Intermediated Securities Act
(Bucheffektengesetz) ("Intermediated Securities"), (b) the legal holder of each such Swiss
W&C Instrument is each person holding such Swiss W&C Instrument in a securities account
(Effektenkonto) that is in such person's name or, in the case of intermediaries
(Verwahrungsstellen), each intermediary (Verwahrungsstelle) holding any such Swiss W&C
Instrument for its own account in a securities account (Effektenkonto) that is in such
intermediary's name (and the expression "Holder" and related expressions shall be construed
accordingly), and (c) any transfer of such Swiss W&C Instruments must be reflected in a
securities account (Effektenkonto) of the transferee. Notwithstanding the foregoing, the Issuer
shall make all payments due to the Holders under the Swiss W&C Instruments to the Swiss
Programme Agent for such Holders and, upon receipt by the Swiss Programme Agent of the
payment of such funds in Switzerland, shall be discharged from its obligations to the Holders
under such Swiss W&C Instruments to the extent of the funds received by the Swiss
Programme Agent as of such date.
In respect of Swiss Definitive Registered W&C Instruments, an individual certificate will be
issued to each holder of a Swiss Definitive Registered Warrant ("Swiss Individual Warrant
Certificate") and each holder of a Swiss Definitive Registered Certificate ("Swiss Individual
Certificate") in respect of its registered holding. Each Swiss Individual Warrant Certificate
243
Terms and Conditions of the W&C Instruments
and Swiss Individual Certificate will be numbered serially with an identifying number which
will be recorded in the register. Each holder for the time being registered in the register (or in
the case of a joint holding, the first named thereof) shall be treated by the Issuer, the
Guarantor, the Swiss Programme Agent and any other Instrument Agent as the Holder of such
number, or nominal amount, as the case may be, of such Swiss Definitive Registered W&C
Instruments in accordance with and subject to the terms of the relevant Swiss Definitive
Registered W&C Instruments (and the expression "Holder" and related expressions shall be
construed accordingly).
(C)
Transfers of W&C Instruments
(a)
Global W&C Instruments
In the case of W&C Instruments that are represented by a Global W&C Instrument,
which is held by a Clearing System, all transactions (including permitted transfers of
W&C Instruments) in the open market or otherwise must be effected through an
account at such Clearing System subject to and in accordance with the rules and
procedures for the time being of such Clearing System. Title will pass, other than in
the case of W&C Instruments deposited with SIS, upon registration of the transfer in
the books of each Clearing System.
(b)
Definitive W&C Instruments in registered form
In the case of Definitive W&C Instruments in registered form, the Registrar will
maintain the Register in accordance with the provisions of the English Law Agency
Agreement. Transfers of Definitive Registered Certificates in registered form are
effected upon (i) the surrender (at the specified office of the Principal Instrument
Agent) of the individual certificate representing such Definitive Registered
Certificates to be transferred together with the form of transfer (which shall be
available at the specified office of the Principal Instrument Agent) endorsed on such
individual certificate (or another form of transfer substantially in the same form and
containing the same representations and certifications (if any), unless otherwise
agreed by the Issuer), duly completed and executed and any other evidence as the
Principal Instrument Agent may reasonably require, (ii) the recording of such transfer
in the Register and (iii) issuance of a new individual certificate or certificates to the
transferee or transferees. Transfers of Definitive Registered Warrants in registered
form are effected upon (i) the surrender (at the specified office of the Principal
Instrument Agent) of the individual warrant certificate representing such Definitive
Registered Warrants to be transferred together with the form of transfer (which shall
be available at the specified office of the Principal Instrument Agent) endorsed on
such individual warrant certificate (or another form of transfer substantially in the
same form and containing the same representations and certifications (if any), unless
otherwise agreed by the Issuer), duly completed and executed and any other evidence
as the Principal Instrument Agent may reasonably require, (ii) the recording of such
transfer in the Register and (iii) issuance of a new individual warrant certificate or
certificates to the transferee or transferees.
(c)
Swedish W&C Instruments and Finnish W&C Instruments
In the case of Swedish W&C Instruments, the W&C Instruments will be issued,
cleared, settled and transferable only in accordance with the provisions of the
Swedish CSD Rules. Title to Swedish W&C Instruments will pass by registration in
the Swedish Register. Where a nominee is registered as a holder of Swedish W&C
Instruments it shall be treated for all purposes as the holder of such Swedish W&C
Instruments.
In the case of Finnish W&C Instruments, the W&C Instruments shall be issued,
cleared, settled and transferable only in accordance with the provisions of the
Euroclear Finland Rules. Title to Finnish W&C Instruments will pass by registration
in the Finnish Register. Where a nominee is registered as a holder of Finnish W&C
244
Terms and Conditions of the W&C Instruments
Instruments it shall be treated as the holder of such Finnish W&C Instruments for the
purpose of the terms and conditions of the Finnish W&C Instruments.
(d)
Swiss W&C Instruments
As a matter of Swiss law, transfers of Swiss W&C Instruments which constitute
Intermediated Securities will only be effected by the entry of the transferred Swiss
W&C Instruments in a securities account of the transferee.
In the case of Swiss Definitive Registered W&C Instruments, the Swiss Programme
Agent will maintain a register in accordance with the provisions of the English Law
Agency Agreement. Transfers of Swiss Definitive Registered W&C Instruments are
effected upon (i) the surrender (at the specified office of the Swiss Programme
Agent) of the Swiss Individual Warrant Certificate or Swiss Individual Certificate
representing such Swiss Definitive Registered W&C Instruments to be transferred
together with the form of transfer (which shall be available at the specified office of
the Swiss Programme Agent) endorsed on such Swiss Individual Warrant Certificate
or Swiss Individual Certificate (or another form of transfer substantially in the same
form and containing the same representations and certifications (if any), unless
otherwise agreed by the Issuer), duly completed and executed and any other evidence
as the Swiss Programme Agent may reasonably require, (ii) the recording of such
transfer in the register and (iii) issuance of a new Swiss Individual Warrant
Certificate or Certificates, or Swiss Individual Certificate or Certificates, as
applicable, to the transferee or transferees.
Any reference herein to Euroclear Bank SA/NV ("Euroclear") and/or Clearstream Banking,
société anonyme ("Clearstream, Luxembourg"), Clearstream Banking AG, Frankfurt am
Main ("Clearstream, Frankfurt"), SIX SIS AG ("SIS"), Euroclear Sweden AB ("Euroclear
Sweden") or Euroclear Finland, Ltd ("Euroclear Finland") shall, whenever the context so
permits, be deemed to include a reference to any additional or alternative clearing system
approved by the Issuer, the Principal Instrument Agent and the Swiss Programme Agent, as
applicable, from time to time and notified to the Holders in accordance with Condition 12
(Notices).
2.
Status of the W&C Instruments and Guarantees
Other than the Swiss COSIs and the Secured W&C Instruments, the W&C Instruments
constitute direct, unsubordinated, unconditional and unsecured obligations of the Issuer and
rank equally among themselves and rank equally (subject to such exceptions as are from time
to time provided by applicable laws) with all other present and future direct, unsubordinated,
unconditional and unsecured obligations of the Issuer.
The Swiss COSIs constitute direct, unsubordinated and unconditional obligations of the Issuer
and rank equally among themselves and rank equally (subject to such exceptions as are from
time to time provided by applicable laws) with all other present and future direct,
unsubordinated and unconditional obligations of the Issuer and are collateralised in
accordance with the terms of the Framework Agreement.
The Secured W&C Instruments constitute direct, unsubordinated, limited recourse and
unconditional obligations of MLICo., secured in respect of the relevant Collateral Assets, and
rank equally among themselves and rank equally (subject to such exceptions as are from time
to time provided by applicable laws) with all other present and future direct, unsubordinated,
limited recourse, unconditional and secured obligations of MLICo.
The obligations of the Guarantor under each Guarantee, save for such exceptions as may be
provided by applicable laws and regulations or judicial order, will rank pari passu with its
other present and future unsecured and unsubordinated obligations.
3.
Guarantees
Under the Non-COSI Guarantee, the Guarantor has unconditionally and irrevocably
guaranteed to the Holders, (i) the due and punctual payment of any and all amounts payable by
245
Terms and Conditions of the W&C Instruments
the Issuer as obligor in respect of the W&C Instruments (except for Secured W&C
Instruments which it does not guarantee) and/or (ii) subject as provided below, the due and
punctual delivery of non-cash consideration deliverable by the Issuer in respect of the W&C
Instruments (except for Secured W&C Instruments which it does not guarantee), if applicable,
when and as the same shall become due and payable or when the same shall become due for
delivery, as the case may be, pursuant to the Conditions and to the extent provided in the NonCOSI Guarantee. The Secured W&C Instruments will not have the benefit of the Non-COSI
Guarantee. As more fully set forth in the Non-COSI Guarantee, the Guarantor shall at all times
have the right, at its sole and unfettered discretion, to elect not to deliver or procure delivery of
the Entitlement to the Holders of Physical Delivery W&C Instruments (which term, as it
relates to the Non-COSI Guarantee and the Guarantor does not include Secured W&C
Instruments) when the same shall become due and deliverable, but in lieu thereof, to pay an
amount in cash equal to the Guaranteed Cash Settlement Amount. The "Guaranteed Cash
Settlement Amount" in respect of each W&C Instrument, other than any Secured W&C
Instruments, means an amount calculated pursuant to the terms of, or as specified in, the
applicable Final Terms (or, in respect of each Credit Linked W&C Instruments, as set out in
Condition 5 (Physical Settlement) of "Annex 9B - Additional Terms and Conditions for Credit
Linked W&C Instruments" or, if not specified in the applicable Final Terms, an amount equal
to the fair market value of the Entitlement in respect of such W&C Instrument on any date
notified as such by the Guarantor to the Issuer and the Calculation Agent, less the cost to the
Issuer and/or its Affiliates or agents of unwinding or adjusting any underlying or related
hedging arrangements (including the cost of funding in respect of such hedging arrangements),
all as determined by the Guarantor in its sole and absolute discretion. Any payment of the
Guaranteed Cash Settlement Amount in lieu of the Entitlement shall constitute a complete
discharge of the Guarantor's obligations in respect of such Physical Delivery W&C
Instruments.
Under the Swiss COSI Guarantee, the Guarantor will conditionally but irrevocably guarantee
to the Holders the payment obligations of MLICo. to the extent of any Shortfall for the
relevant Series of Swiss COSIs. Any and all obligations of the Guarantor under the Swiss
COSI Guarantee will be conditional and secondary, it being understood and agreed that the
Holders shall have no right to proceed under the Swiss COSI Guarantee until SIX Swiss
Exchange or other liquidator has liquidated all the collateral relating to the relevant Series of
Swiss COSIs furnished by the Swiss COSI Collateral Provider in accordance with the
Framework Agreement and applicable law (the "Collateral Enforcement Efforts"). Subject
as provided above, and as more fully set forth in the Swiss COSI Guarantee, in the event that
the proceeds and other amounts received by SIX Swiss Exchange or other liquidator after
exhausting all Collateral Enforcement Efforts are insufficient to pay to the Holders the Current
Value (as defined in the Framework Agreement) of the relevant Series of Swiss COSIs (the
"Shortfall") and in case of the failure of MLICo. to punctually make payment of any Shortfall
when and as the same shall become due and payable, the Guarantor will agree in the Swiss
COSI Guarantee to pay or cause to be paid promptly upon demand such additional amounts as
are necessary to ensure that the Holders receive the Current Value of the relevant Series of
Swiss COSIs as though there had been no Shortfall.
4.
Definitions
For the purposes of these Terms and Conditions, the following general definitions will apply:
"Actual Exercise Date" means the Exercise Date (in the case of European Style Warrants or
Certificates), or, subject to Condition 24(F)(a)(ii), the date during the Exercise Period on
which the Warrant is actually or is deemed exercised (in the case of American Style Warrants
(as more fully set out in Condition 23(A)(a)).
"Affiliate" means in relation to any entity (the "First Entity"), any entity controlled, directly
or indirectly, by the First Entity, any entity that controls, directly or indirectly, the First Entity
or any entity directly or indirectly under common control with the First Entity. For these
purposes "control" means ownership of a majority of the voting power of an entity.
"Aggregate Notional Amount" has the meaning given to it in the applicable Final Terms.
246
Terms and Conditions of the W&C Instruments
"Business Day" means:
(a)
a day (other than a Saturday or Sunday) on which:
(i)
commercial banks are open for business (including dealings in foreign exchange
and foreign currency deposits) in the relevant Business Day Centre(s), specified
in the applicable Final Terms, provided that if the Business Day Centre(s) is
specified in the applicable Final Terms to be or to include "TARGET", then
Business Day shall also be a day on which the Trans-European Automated Realtime Gross settlement Express Transfer (TARGET2) system or any successor
thereto (the "TARGET2 System") is operating and, if the W&C Instruments are
(A) Swedish W&C Instruments, in Stockholm or (B) Finnish W&C Instruments,
in Helsinki; and
(ii)
each Clearing System is open for business; and
(b)
for the purposes of making payments in euro, a day on which the TARGET2 System is
operating; and
(c)
for the purposes of making payments in CNY, unless otherwise specified in the
applicable Final Terms, a day on which commercial banks and foreign exchange
markets settle payments and are open for general business (including dealing in foreign
exchange and foreign currency deposits) in the Hong Kong Special Administrative
Region.
"Cash Settlement Amount" means, in relation to a Cash Settled W&C Instrument, the
amount (which may never be less than zero) which the Holder is entitled to receive on the
Settlement Date in the Settlement Currency in relation to each such W&C Instrument, or, in
the case of Warrants, if Units are specified in the applicable Final Terms, each Unit, as the
case may be, as determined by the Calculation Agent pursuant to the provision set out in the
applicable Final Terms. The Cash Settlement Amount will be rounded to the nearest two
decimal places (or, in the case of Japanese Yen, the nearest whole unit) in the relevant
Settlement Currency, with 0.005 (or, in the case of Japanese Yen, half a unit) being rounded
upwards, and with W&C Instruments exercised at the same time by the same Holder being
aggregated for the purpose of determining the aggregate Cash Settlement Amounts payable in
respect of such W&C Instruments.
"CBF Global W&C Instruments" means the CBF Global Certificates and the CBF Global
Warrants, each a "CBF Global W&C Instrument".
"Clearing System" means:
(a)
in respect of W&C Instruments represented by a Euroclear/CBL Global W&C
Instrument, Euroclear and/or Clearstream, Luxembourg;
(b)
in respect W&C Instruments represented by a CBF Global W&C Instrument,
Clearstream, Frankfurt;
(c)
in respect of Swedish W&C Instruments, the Swedish CSD;
(d)
in respect of Swiss W&C Instruments, SIS; or
(e)
in respect of Finnish W&C Instruments, Euroclear Finland.
"Collateral Enforcement Efforts" has the meaning given to it in Condition 3 (Guarantees).
"Current Value" has the meaning given to it in clause 19 (Definitions) of the Framework
Agreement.
"Definitive Registered Certificates" means an individual certificate (as defined in Condition
28 (Form of Certificates)).
247
Terms and Conditions of the W&C Instruments
"Definitive Registered Warrants" means an individual warrant certificate (as defined in
Condition 21 (Form of Warrants)).
"Definitive W&C Instruments" means the Definitive Registered Certificates, the Definitive
Registered Warrants and the Swiss Definitive Registered Warrants.
"Entitlement" means, in relation to a Physical Delivery W&C Instrument (other than a Credit
Linked W&C Instrument), or, in the case of Warrants, if Units are specified in the applicable
Final Terms, each Unit, as the case may be, the quantity of the Relevant Asset or the Relevant
Assets, as the case may be, which a Holder is entitled to receive on the Settlement Date in
respect of each such W&C Instrument or Unit, as the case may be, following payment of the
Expenses, and, in the case of Warrants, the Exercise Price, which quantity will be rounded
down as provided in Condition 23(C) or 30(A), as determined by the Calculation Agent and
includes any documents evidencing such Entitlement.
"Euroclear/CBL Global W&C Instruments" means the Euroclear/CBL Global Registered
Certificates and the Euroclear/CBL Global Registered Warrants, each a "Euroclear/CBL
Global W&C Instrument".
"Euroclear Finland Rules" means Finnish laws, regulations, decisions and operating
procedures from time to time applicable to the Finnish W&C Instruments and/or issued by
Euroclear Finland.
"Exercise Price" means the price specified as the Exercise Price in the applicable Final
Terms.
"FATCA Provisions" means Section 1471 through 1474 of the Code (or any successor
provisions) any regulation, pronouncement, or agreement thereunder, official interpretations
thereof, or any law implementing an intergovernmental approach thereto, whether currently in
effect or as published and amended from time to time.
"Finnish Register" means the book-entry register maintained by Euroclear Finland in respect
of Finnish W&C Instruments in accordance with the Euroclear Finland Rules.
"Finnish W&C Instruments" means (a) in the case of Warrants, Finnish Warrants (as
defined in Condition 21 (Form of Warrants)) or (b) in the case of Certificates, Finnish
Certificates (as defined in Condition 28 (Form of Certificates)).
"Framework Agreement" means the Swiss law governed SIX Swiss Exchange «Framework
Agreement for Collateral-Secured Instruments (COSI)», dated 24 May 2012, between SIX
Swiss Exchange, SIS, MLICo. and the Swiss COSI Collateral Provider, pursuant to which the
Collateral Provider undertakes to secure the Current Value of the Swiss W&C Instruments for
which "Collateralisation" is specified to be applicable in the applicable Final Terms.
"Global W&C Instrument" means (a) in the case of an issue of Warrants, the Global Warrant
(as defined in Condition 21 (Form of Warrants)) representing such Warrants and (b) in the
case of an issue of Certificates, the Global Certificate (as defined in Condition 28 (Form of
Certificates)) representing such Certificates.
"Notional Amount" has the meaning given to it in the applicable Final Terms.
"Mandatory Early Exercise Cash Settlement Amount" means, in respect of a Mandatory
Early Exercise Date, such amount specified in the applicable Final Terms.
"Mandatory Early Exercise Cash Settlement Date" means, in respect of a Mandatory Early
Exercise Date, such date specified in the applicable Final Terms.
"Mandatory Early Exercise Date" means each Mandatory Early Exercise Date specified in
the applicable Final Terms.
"Mandatory Early Exercise Event" means each Mandatory Early Exercise Event specified
in the applicable Final Terms.
248
Terms and Conditions of the W&C Instruments
"Register" means the register held by the Registrar in respect of Registered W&C
Instruments.
"Regulation S" means Regulation S under the Securities Act.
"Relevant Assets" means the assets comprising the Entitlement, as specified in the applicable
Final Terms.
"Settlement Business Day" means any day on which the relevant Clearing System is (or, but
for the occurrence of a Settlement Disruption Event, would have been) open for the
acceptance and execution of settlement instructions.
"Settlement Date" has the meaning given in the applicable Final Terms.
"Shortfall" has the meaning given to it in Condition 3 (Guarantees).
"Swedish CSD" means the Swedish central securities
värdepappersfövarare) which is expected to be Euroclear Sweden.
depository
(central
"Swedish CSD Rules" means the Swedish Financial Instruments Accounts Act (in Swedish:
lag (1998:1479) om kontoföring av finansiella instrument) and any regulations, rules and
operating procedures applicable to and/or issued by the Swedish CSD from time to time.
"Swedish Register" means the book-entry register maintained by the Swedish CSD on behalf
of the Issuer in respect of Swedish W&C Instruments in accordance with the Swedish CSD
Rules.
"Swedish W&C Instruments" means (a) in the case of Warrants, Swedish Warrants (as
defined in Condition 21 (Form of Warrants)) or (b) in the case of Certificates, Swedish
Certificates (as defined in Condition 28 (Form of Certificates)).
"Swiss COSI Collateral Provider" means Merrill Lynch Capital Markets AG, Zurich,
Switzerland.
"Swiss COSIs" means Swiss W&C Instruments in respect of which collateralisation is
specified to be applicable in the applicable Final Terms.
"Swiss Definitive Registered W&C Instruments" means the Swiss Definitive Registered
Certificates and the Swiss Definitive Registered Warrants.
"Swiss W&C Instruments" means the Swiss Certificates and the Swiss Warrants (each as
defined below).
"Unit" has meaning given in the applicable Final Terms.
"United States" means the United States of America (including the states and the District of
Columbia), its territories and possessions.
"United States Person" means a person which is a "U.S. person" as defined by Regulation S
under the Securities Act or a "United States person" as defined in Section 7701(a)(30) of the
U.S. Internal Revenue Code of 1986, as amended, and in U.S. Treasury regulations.
5.
General provisions relating to Physical Settlement in respect of W&C Instruments (other
than Credit Linked W&C Instruments and Rule 144A Warrants)
The provisions of Conditions 5(A), 5(B) and 5(C) apply to W&C Instruments other than
Credit Linked W&C Instruments.
(A)
Settlement Disruption
If, following the exercise of Physical Delivery W&C Instruments, in the opinion of the
Calculation Agent, delivery of the Entitlement using the method of delivery specified in the
applicable Final Terms is not practicable by reason of a Settlement Disruption Event (as
249
Terms and Conditions of the W&C Instruments
defined below) having occurred and continuing on any Settlement Date, then such Settlement
Date for such W&C Instruments shall be postponed to the first following Settlement Business
Day in respect of which there is no such Settlement Disruption Event, provided that the Issuer
may elect in its sole discretion to satisfy its obligations in respect of the relevant W&C
Instruments or Unit, as the case may be, by delivering the Entitlement using such other
commercially reasonable manner as it may select and in such event the Settlement Date shall
be such day as the Issuer deems appropriate in connection with delivery of the Entitlement in
such other commercially reasonable manner. For the avoidance of doubt, where a Settlement
Disruption Event affects some but not all of the Relevant Assets comprising the Entitlement,
the Settlement Date for the Relevant Assets not affected by the Settlement Disruption Event
will be the originally designated Settlement Date. In the case of Warrants, in the event that a
Settlement Disruption Event will result in the delivery on a Settlement Date of some but not
all of the Relevant Assets comprising the Entitlement, the Calculation Agent shall determine
in its discretion the appropriate pro rata portion of the Exercise Price to be paid by the
relevant Holder in respect of that partial settlement. For so long as delivery of the Entitlement
is not practicable by reason of a Settlement Disruption Event, then in lieu of physical
settlement and notwithstanding any other provision hereof, the Issuer may elect in its sole
discretion to satisfy and discharge its obligations in respect of the relevant W&C Instruments
or Unit, as the case may be, by payment to the relevant Holder of the Disruption Cash
Settlement Price (as defined below) on the third Business Day following the date that notice of
such election is given to the Holders in accordance with Condition 12 (Notices). The
Calculation Agent shall give notice as soon as practicable to the Holders in accordance with
Condition 12 (Notices) that a Settlement Disruption Event has occurred provided that any
failure to give, or non-receipt of, such notice will not affect the validity of any such Settlement
Disruption Event. No Holder shall be entitled to any payment in respect of the relevant W&C
Instrument or Unit, as the case may be, in the event of any delay in the delivery of the
Entitlement due to the occurrence of a Settlement Disruption Event and no liability in respect
thereof shall attach to the Issuer or the Guarantor.
For the purposes hereof:
"Disruption Cash Settlement Price" in respect of any relevant W&C Instruments or Unit, as
the case may be, shall be the fair market value of such W&C Instruments or Unit, as the case
may be, (taking into account, where the Settlement Disruption Event affected some but not all
of the Relevant Assets comprising the Entitlement and such non-affected Relevant Assets have
been duly delivered as provided above, the value of such duly delivered Relevant Assets), less
the cost to the Issuer and/or its Affiliates or agents of unwinding any underlying related
hedging arrangements (including any cost of funding in respect of such hedging
arrangements), all as determined by the Issuer in its sole and absolute discretion, plus, in the
case of Warrants and if already paid, the Exercise Price (or, where as provided above some
Relevant Assets have been delivered, and a pro rata portion thereof has been paid, such pro
rata portion); and
"Settlement Disruption Event" means, in the opinion of the Calculation Agent, an event
beyond the control of the Issuer as a result of which the Issuer cannot make delivery of the
Relevant Asset(s) using the method specified in the applicable Final Terms.
(B)
Failure to Deliver due to Illiquidity
If "Failure to Deliver due to Illiquidity" is specified as applicable in the applicable Final
Terms and, following the exercise of Physical Delivery W&C Instruments, in the opinion of
the Calculation Agent, it is impossible or impracticable to deliver, when due, some or all of
the Relevant Assets (the "Affected Relevant Assets") comprising the Entitlement, where such
failure to deliver is due to illiquidity in the market for the Relevant Assets (a "Failure to
Deliver due to Illiquidity"), then:
(a)
subject as provided elsewhere in the Conditions, any Relevant Assets which are not
Affected Relevant Assets, will be delivered on the originally designated Settlement
Date and, in the case of Warrants, the Calculation Agent shall determine in its
discretion the appropriate pro rata portion of the Exercise Price to be paid by the
relevant Holder in respect of that partial settlement; and
250
Terms and Conditions of the W&C Instruments
(b)
in respect of any Affected Relevant Assets, in lieu of physical settlement and
notwithstanding any other provision hereof, the Issuer may elect in its sole discretion
to satisfy its obligations in respect of the relevant W&C Instruments or Unit, as the
case may be, by payment to the relevant Holder of the Failure to Deliver Settlement
Price (as defined below) on the fifth Business Day following the date that notice of
such election is given to the Holders in accordance with Condition 12 (Notices). The
Calculation Agent shall give notice as soon as practicable to the Holders in
accordance with Condition 12 (Notices) that the provisions of this Condition 5(B)
apply.
For the purposes hereof:
"Failure to Deliver Settlement Price" means, in respect of any relevant W&C Instrument or
Unit, as the case may be, the fair market value of such W&C Instrument or Unit, as the case
may be (taking into account, the Relevant Assets comprising the Entitlement which have been
duly delivered as provided above), less the cost to the Issuer and/or its Affiliates or agents of
unwinding any underlying related hedging arrangements, all as determined by the Issuer in its
sole and absolute discretion, plus, in the case of Warrants and if already paid, the Exercise
Price (or, where as provided above some Relevant Assets have been delivered, and a pro rata
portion thereof has been paid, such pro rata portion).
(C)
Issuer's Option to Vary Settlement
If the applicable Final Terms indicate that the Issuer has an option to vary settlement in respect
of the W&C Instruments, upon a valid exercise of W&C Instruments in accordance with these
Terms and Conditions, the Issuer may, at its sole and unfettered discretion, in respect of each
such W&C Instrument or Unit elect not to pay the relevant Holders the Cash Settlement
Amount or not to deliver or procure delivery of the Entitlement, as the case may be, to the
relevant Holders but, in lieu thereof to deliver or procure delivery of the Entitlement or make
payment of the Cash Settlement Amount on the Settlement Date to the relevant Holders.
Notification of such election will be given to Holders in accordance with Condition 12
(Notices) no later than 10.00 a.m. (London time) on the second Business Day following the
Actual Exercise Date.
6.
General provisions relating to Settlement
(A)
General Provisions
None of the Issuer, (if applicable) the Guarantor, the Calculation Agent, the Instrument Agents
and the Registrar shall have any responsibility for any errors or omissions in the calculation of
any Cash Settlement Amount or of any Entitlement.
Exercise of the W&C Instruments is subject to all applicable laws, regulations and practices in
force on the relevant Exercise Date and none of the Issuer, (if applicable) the Guarantor or any
of its Affiliates, the Instrument Agents and the Registrar shall incur any liability whatsoever if
it is unable to effect the transactions contemplated, after using all reasonable efforts, as a result
of any such laws, regulations or practices. None of the Issuer, (if applicable) the Guarantor or
any of its Affiliates, the Instrument Agents and the Registrar shall under any circumstances be
liable for any acts or defaults of Euroclear; Clearstream, Luxembourg; Clearstream, Frankfurt;
SIS; the Swedish CSD; or Euroclear Finland in relation to the performance of their duties in
relation to the W&C Instruments.
The purchase of W&C Instruments does not confer on any holder of such W&C Instruments
any rights (whether in respect of voting, distributions or otherwise) attaching to any Relevant
Asset.
(B)
Payment Day
If the date for payment of any amount in respect of any W&C Instrument is not a Payment
Day, the Holder thereof shall not be entitled to payment until (i) if "Following" is specified in
the applicable Final Terms, the next following Payment Day or (ii) if "Modified Following" is
specified in the applicable Final Terms, the next following Payment Day unless that Payment
251
Terms and Conditions of the W&C Instruments
Day falls in the next calendar month, in which case the first preceding Payment Day, in the
relevant place and shall not be entitled to further interest or other payment in respect of such
delay or amendment. For these purposes, "Payment Day" means any day (other than a
Saturday or Sunday) on which commercial banks and foreign exchange markets settle
payments and are open for general business (including dealing in foreign exchanges and
foreign currency deposits) in:
(C)
(a)
the principal financial centre of the country of the relevant Settlement Currency (or
(A) in the case of an amount payable in euro, a day on which the TARGET2 System
is operating or (B) in the case of an amount payable in CNY, a day on which
commercial banks and foreign exchange markets settle payments and are open for
general business (including dealing in foreign exchange and foreign currency
deposits) in the CNY Settlement Centre);
(b)
each Additional Financial Centre specified in the applicable Final Terms, provided
that if the Additional Financial Centre is specified in the applicable Final Terms to be
or to include "TARGET", then Payment Day shall also be a day on which the
TARGET2 System is operating; and
(c)
London.
Payment Disruption
(a)
Occurrence of a Payment Disruption Event or a CNY Payment Disruption Event
If the applicable Final Terms specify "Payment Disruption Event" or "CNY Payment
Disruption Event" to be applicable, in the event that the Calculation Agent, at any time
and from time to time, determines in its sole discretion that a Payment Disruption
Event or a CNY Payment Disruption Event, as the case may be, has occurred or is
likely to occur, then the Calculation Agent shall as soon as practicable notify the
Holders of the relevant W&C Instruments of the occurrence of such Payment
Disruption Event or CNY Payment Disruption Event, as the case may be, in accordance
with Condition 12 (Notices).
(b)
Consequences of a Payment Disruption Event
Upon the occurrence of a Payment Disruption Event:
(i)
Extension of relevant dates
The Calculation Agent may extend the Exercise Date, the Settlement Date or
any other date on which the W&C Instruments may be exercised or redeemed or
any amount shall be due and payable in respect of the relevant W&C
Instruments, subject to Condition 6(C)(e), to a date falling five (5) Business
Days (or such other date as may be determined by the Calculation Agent and
notified to the Holders in accordance with Condition 12 (Notices)) after the date
on which the Payment Disruption Event is no longer occurring and notice
thereof shall be given to the relevant Holders in accordance with Condition 12
(Notices).
(ii)
Obligation to pay postponed
The Calculation Agent may postpone the Issuer's obligation to pay the Cash
Settlement Amount or any such other amounts in respect of the relevant W&C
Instruments or deliver any Relevant Asset, subject to Condition 6(C)(e), until
five (5) Business Days (or such other date as may be determined by the
Calculation Agent and notified to the Holders in accordance with Condition 12
(Notices)) after the date on which the Payment Disruption Event is no longer
occurring.
252
Terms and Conditions of the W&C Instruments
(iii)
Issuer's option to vary settlement
Notwithstanding the Issuer's right to extend the dates for payments in
accordance with Condition 6(C)(b)(i) or postpone payment in accordance with
Condition 6(C)(b)(ii), as applicable, the Issuer may, if practicable (and to the
extent lawful), and at the Issuer's sole and absolute discretion:
(1)
make payments due to be made in the Subject Currency in the Base
Currency, converted from the Subject Currency into the Base Currency at a
rate reasonably selected by the Calculation Agent;
(2)
make payments due to be made in the Base Currency in the Subject
Currency, disregarding any obligation to convert amounts into the Base
Currency;
(3)
in the case of Share Linked W&C Instruments, deliver the Shares in lieu of
cash settlement; or
(4)
in the case of Share Linked W&C Instruments which reference a basket of
Shares, elect to satisfy in part its obligation to pay the amounts as may be
due and payable under the relevant W&C Instruments by making partial
payment(s) or partial deliveries, as the case may be (the "Partial
Distributions"). Any Partial Distribution made by the Issuer to the
Holders will be calculated and/or determined by the Calculation Agent in
its sole and absolute discretion and shall be paid and/or delivered to the
Holders pro rata (as far as possible, subject to any necessary adjustments
for rounding) to the proportion of the W&C Instruments of the same Series
held by the relevant Holder. In the event that any Partial Distribution is
made by the Issuer, the Calculation Agent may, in its sole and absolute
discretion, make any such corresponding adjustment to any variable
relevant to the redemption or payment terms of the relevant W&C
Instruments as it deems necessary and shall notify the relevant Holders
thereof in accordance with Condition 12 (Notices).
Any payments or deliveries made in accordance with this Condition 6(C)(b)(iii)
shall satisfy and discharge in full (in the case of payments or deliveries made in
accordance with paragraphs (1) to (3)) and in part (in the case of Partial
Distributions made in accordance with paragraph (4)) the Issuer's obligation to
pay the Cash Settlement Amount or other amount in respect of which the
Payment Disruption Event has arisen, and no further amounts shall be due and
payable by the Issuer in respect thereof.
(c)
Consequences of a CNY Payment Disruption Event
Upon the occurrence of a CNY Payment Disruption Event:
(i)
Extension of relevant dates
If "Extension" is specified to be applicable in the applicable Final Terms, then
Condition 6(C)(b)(i) shall apply, provided that the reference therein to "Payment
Disruption Event" shall be construed as a reference to "CNY Payment
Disruption Event".
(ii)
Obligation to pay postponed
If "Payment Postponement" is specified to be applicable in the applicable Final
Terms, then Condition 6(C)(b)(ii) shall apply, provided that the reference
therein to "Payment Disruption Event" shall be construed as a reference to
"CNY Payment Disruption Event".
253
Terms and Conditions of the W&C Instruments
(iii)
Payment of Equivalent Amount
If "Payment of Equivalent Amount" is specified to be applicable in the
applicable Final Terms, and the Calculation Agent determines that such CNY
Payment Disruption Event is material in relation to the Issuer's obligations under
the relevant W&C Instruments to pay any Additional Amount, Cash Settlement
Amount or other amount in respect of the relevant W&C Instruments on the
relevant Additional Amount Payment Date, Settlement Date or such other date
on which any amount in respect of the relevant W&C Instruments shall be due
and payable (such date, the "Affected Payment Date"), then the Issuer shall, on
giving notice to Holders prior to the relevant Affected Payment Date, make
payment of the Equivalent Amount of the relevant Additional Amount, Cash
Settlement Amount or such other amount payable (if applicable) on the relevant
Affected Payment Date in full and final settlement of its obligations to pay such
Additional Amount, Settlement Amount or other amount in respect of the
relevant W&C Instruments.
(d)
Payments net of expenses
Notwithstanding any provisions to the contrary, (a) any payments or deliveries made in
accordance with Condition 6(C)(b) or Condition 6(C)(c), as the case may be, shall be
made after deduction of any costs, expenses or liabilities incurred or to be incurred by
the Calculation Agent or Issuer in connection with or arising from the resolution of the
relevant Payment Disruption Event(s) or CNY Payment Disruption Event(s), as the
case may be, and (b) no interest shall be paid by the Issuer in respect of any delay
which may occur in the payment of any amounts due and payable under the W&C
Instruments as a result of the operation of Condition 6(C)(b) or Condition 6(C)(c), as
the case may be.
(e)
Payment Event Cut-Off Date
In the event that a Payment Disruption Event or a CNY Payment Disruption Event, as
the case may be, is still occurring on the Payment Event Cut-Off Date, the Exercise
Date, the Settlement Date, or any other date on which any Additional Amount, Cash
Settlement Amount or other amount in respect of the relevant W&C Instruments shall
be due and payable (as the case may be) for the relevant W&C Instruments shall fall on
the Payment Event Cut-Off Date. In such circumstances, the Holder will not receive
any amounts. Thereafter, the Issuer shall have no obligations whatsoever under the
W&C Instruments.
For the purposes of this Condition 6(C):
"Base Currency" has the meaning given to it in "Annex 5 – Additional Terms and
Conditions for FX Linked Instruments";
"CNY" means Chinese Renminbi, the lawful currency of the People's Republic of
China (including any lawful successor currency to the CNY);
"CNY Payment Disruption Event" means the occurrence of any of the following
events:
(a)
an event that makes it impossible or impractical for the Issuer to convert any
amounts in CNY due in respect of the W&C Instruments in the general CNY
foreign exchange market in the relevant CNY Settlement Centre(s), other than
where such impossibility or impracticality is due solely to the failure of the
Issuer to comply with any law, rule or regulation enacted by any Governmental
Authority (unless such law, rule or regulation is enacted after the relevant Trade
Date, and it is impossible or impractical for the Issuer, due to an event
beyond its control, to comply with such law, rule or regulation) (a "CNY
Inconvertibility Event");
254
Terms and Conditions of the W&C Instruments
(b)
an event that makes it impossible or impractical for the Issuer to (i) deliver CNY
between accounts inside the relevant CNY Settlement Centre(s), or (ii) from an
account inside the relevant CNY Settlement Centre(s) to an account outside the
relevant CNY Settlement Centre(s) (including, if applicable, to another CNY
Settlement Centre), other than where such impossibility or impracticality is due
solely to the failure of the Issuer to comply with any law, rule or regulation
enacted by any Governmental Authority (unless such law, rule or regulation is
enacted after the Trade Date and it is impossible or impractical for the Issuer,
due to an event beyond its control, to comply with such law, rule or regulation)
(a "CNY Non-Transferability Event"); and
(c)
the general CNY foreign exchange market in the relevant CNY Settlement
Centre becomes illiquid as a result of which the Issuer cannot obtain sufficient
CNY in order to satisfy its payment obligations (in whole or in part) under the
W&C Instruments (a "CNY Non-Availability Event");
"CNY Settlement Centre" means the financial centre(s) specified as such in the
applicable Final Terms;
"Equivalent Amount" means, in respect of the relevant Additional Amount, Cash
Settlement Amount or other amount payable (if applicable) on the relevant Affected
Payment Date (for these purposes, the "Relevant Amount"), an amount in the Base
Currency determined by the Calculation Agent by converting the Relevant Amount into
the Base Currency using the Equivalent Amount Settlement Rate for the relevant
Affected Payment Date;
"Equivalent Amount Settlement Rate" means, unless otherwise specified in the
applicable Final Terms, in respect of any relevant day, the spot exchange rate on such
day between CNY and the Base Currency, determined by the Calculation Agent, taking
into account all available information which the Calculation Agent deems relevant
(including, but not limited to, pricing information obtained from the CNY nondeliverable market outside the People's Republic of China and/or the CNY foreign
exchange market in the People's Republic of China;
"Governmental Authority" means any de facto or de jure government (or any agency
or instrumentality thereof), court, tribunal, administrative or other governmental
authority or any other entity (private or public) charged with the regulation of the
financial markets (including the central bank) of the People's Republic of China, the
Hong Kong Special Administrative Region and any other CNY Settlement Centre;
"impractical" or "impracticality" means, in respect of any action to be taken by the
Issuer, that the Issuer and/or its Affiliates would incur a materially increased amount of
taxes, duties, expenses or fees (as compared with circumstances existing on the Trade
Date) to perform such action, or the Issuer and/or any Affiliates would be in breach of
any law, rule, regulation, guideline or internal policy of the Issuer and/or its Affiliates,
if such action were to be performed;
"Payment Disruption Event" means:
(a)
the occurrence of either (a) an Inconvertibility Event and/or (b) a NonTransferability Event (each as defined in "Annex 5 – Additional Terms and
Conditions for FX Linked Instruments");
(b)
the imposition by the Subject Currency Jurisdiction (or any political or
regulatory authority thereof) of any capital controls, or the publication of any
notice of an intention to do so, which the Calculation Agent determines in good
faith is likely materially to affect the W&C Instruments, and notice thereof is
given by the Issuer to the Holders in accordance with Condition 12 (Notices); or
(c)
the implementation by the Subject Currency Jurisdiction (or any political or
regulatory authority thereof) or the publication of any notice of an intention to
implement any changes to the laws or regulations relating to foreign investment
255
Terms and Conditions of the W&C Instruments
in the Subject Currency Jurisdiction (including, but not limited to, changes in
tax laws and/or laws relating to capital markets and corporate ownership), which
the Calculation Agent determines are likely to affect materially the Issuer's
ability to hedge its obligations under the W&C Instruments;
"Payment Event Cut-Off Date" means the date which is one year after the Exercise
Date, Settlement Date or as determined by the Calculation Agent acting in good faith
and notified to Holders in accordance with Condition 12 (Notices);
"Subject Currency" has the meaning given to it in "Annex 5 – Additional Terms and
Conditions for FX Linked Instruments"; and
"Subject Currency Jurisdiction" has the meaning given to it in "Annex 5 – Additional
Terms and Conditions for FX Linked Instruments".
7.
Currency Substitution Event
In the event that the Issuer and the Calculation Agent, in their discretion, determine that any
Relevant Governmental Authority (as defined below) of a country, bloc of countries or other
applicable sovereign entity or entities (each, an "Applicable Jurisdiction") announces or in
any event effects (whether pursuant to legislation enacted for such purpose in the Applicable
Jurisdiction, in accordance with or in breach of applicable international treaties, or in any other
manner) or (based on any publicly available information which the Issuer and the Calculation
Agent reasonably consider relevant) there is a substantial likelihood that it will effect within
the next 90 days, the replacement of the lawful currency (the "Initial Currency") of an
Applicable Jurisdiction with a substitute currency ("Substitute Currency") (for the avoidance
of doubt, including circumstances in which a country (a "Departing Country") within a bloc
of countries in a currency union passes legislation (or a Relevant Governmental Authority
thereof announces that it will pass legislation or otherwise seeks) to effect or does effect the
withdrawal of such Departing Country from the currency bloc and the replacement of the
currency of the currency union with another currency as the official currency of the Departing
Country) (any such event being a "Currency Substitution Event"), and:
(a)
the calculation of amounts to be paid or assets to be delivered under any W&C
Instrument is linked to one or more Reference Items, and the currency by which the
Reference Item(s) and/or any component(s) thereof is priced, quoted or traded is (or, in
the Issuer's reasonable opinion is likely to be), as a result of the Currency Substitution
Event, redenominated from the Initial Currency into the Substitute Currency; and/or
(b)
the calculation of amounts to be paid or assets to be delivered under any W&C
Instrument is linked to one or more floating rates of interest based on or related to
amounts denominated in the Initial Currency; and/or
(c)
the Hedging Arrangements (as defined below) in respect of any W&C Instrument have
been materially adversely affected by (A) the Currency Substitution Event and/or (B)
capital controls or other restrictions imposed by a Relevant Governmental Authority of
the Applicable Jurisdiction, and the Hedging Party (as defined below) is unable, after
using commercially reasonable efforts, to alter or modify the Hedging Arrangements
and/or establish alternate Hedging Arrangements to fully account for the material
adverse effect of (A) and/or (B) above,
then, unless otherwise set out in the applicable Final Terms, the Issuer and the Calculation
Agent may, in their discretion:
(x)
make such adjustments, as shall be notified to each Holder of the relevant W&C
Instruments, to the exercise, settlement, valuation, calculation, payment and/or any
other Terms and Conditions of the W&C Instrument as the Issuer determines
appropriate to (i) (in the case of (a) or (b) above) preserve the economic terms of such
W&C Instruments as of the Issue Date, including, without limitation, making any
currency conversion necessary as part of any such adjustment based on the relevant
official conversion rate or at an appropriate market rate of exchange determined by
the Calculation Agent to be prevailing as of any relevant time and date, or (ii) (in the
256
Terms and Conditions of the W&C Instruments
case of (c) above) account for the material adverse effect on the Hedging
Arrangements and in order to effect a commercially reasonable result; or
(y)
redeem such W&C Instruments on such day as shall be notified to the relevant
Holders and pay an early settlement amount (which shall be the fair market value of
the W&C Instruments, taking into account the Currency Substitution Event and its
consequences as described above, less any and all costs associated or incurred by the
Issuer and/or any of its affiliates or agents in connection with such early settlement,
including, without limitation, any costs associated with unwinding any underlying
related hedging arrangements (including any cost of funding in respect of such
hedging arrangements) as determined by the Calculation Agent in its sole and
absolute discretion) to the Holder in respect of each W&C Instrument.
For the avoidance of doubt, the circumstances and consequences described in this Condition 7
(Currency Substitution Event) and any resulting or alternative adjustments to the exercise,
settlement, valuation, calculation, payment and/or any other Terms and Conditions of the
applicable W&C Instrument will not entitle any Holder of such W&C Instruments (A) to any
legal remedy, including, without limitation, rescission, repudiation, or renegotiation of the
W&C Instrument, or (B) to raise any defence or make any claim (including, without
limitation, claims of breach, force majeure, frustration of purpose, or impracticability) or any
other claim for compensation, damages, or any other relief.
For the purposes of this Condition 7 (Currency Substitution Event):
"Hedging Arrangements" means any purchase, sale, entry into or maintenance of one or
more (a) positions or contracts in securities, options, futures, derivatives or foreign exchange
or (b) other instruments or arrangements (howsoever described) in order to hedge individually
or on a portfolio basis the Issuer's obligations under any W&C Instrument.
"Hedging Party" means, the Issuer or any of its affiliate(s) or any entity (or entities) acting on
the Issuer's behalf engaged in any underlying or hedging transactions relating to any W&C
Instrument and/or underlying market measure(s) in respect of the Issuer's obligations under the
W&C Instrument.
"Relevant Governmental Authority" means, in relation to any Applicable Jurisdiction, any
de facto or de jure government (or any agency or instrumentality thereof), court, tribunal,
administrative or other governmental authority or any other entity (private or public) charged
with the regulation of the financial markets (including the central bank) of such Applicable
Jurisdiction.
8.
Cancellation for Tax Reasons and Tax Compliance Reasons
(A)
Cancellation for Tax Reasons
The Issuer may cancel the W&C Instruments, in whole, but not in part, at any time at their
Early Settlement Amount (as defined in Condition 9 (Illegality)), if the Issuer shall determine
that any payment or deemed payment as determined for United States tax purposes with
respect to the W&C Instruments or with respect to a direct or indirect hedging arrangement
entered into by the Issuer or any of its Affiliates relating to the W&C Instruments may be
treated as a dividend or "dividend equivalent" for United States tax purposes (such event being
a "U.S. Withholding Tax Event").
(B)
Cancellation for Tax Compliance Reasons
The Issuer may, at its option, cancel the W&C Instruments, in whole or in part, at any time, at
their Early Settlement Amount, if the Issuer determines in good faith that it has, or there is a
substantial likelihood that it will, become subject to withholding imposed on a payment made
to it on account of the Issuer's inability to comply with the reporting requirements imposed by
the FATCA Provisions, provided that such inability to comply with the reporting requirements
is attributable to non-compliance by any Holder of such W&C Instruments (or a foreign
withholding agent (if any) in the chain of custody of payments made to the Holders) with the
Issuer's requests for certifications or identifying information (such cancellation, a
257
Terms and Conditions of the W&C Instruments
"Cancellation for Tax Compliance Reasons"). Upon a Cancellation for Tax Compliance
Reasons, W&C Instruments held by compliant Holders, in addition to those held by noncompliant Holders, may be cancelled.
Notice of intention to cancel W&C Instruments will be given in accordance with Condition 12
(Notices) not less than 30 calendar days nor more than 60 calendar days prior to the date fixed
for cancellation. Payment will be made in such manner as shall be notified to the Holders in
accordance with Condition 12 (Notices).
9.
Illegality
In the event that the Issuer determines in good faith that (i) the performance of the Issuer's
obligations under the W&C Instruments or that any arrangements made to hedge the Issuer's
obligations under the W&C Instruments or (ii) the performance by the Guarantor of any of its
obligations under the relevant Guarantee in respect of the W&C Instruments (except for
Secured W&C Instruments to which the Guarantee does not apply), has or will become, in
whole or in part, unlawful, illegal or otherwise contrary to any present or future law, rule,
regulation, judgment, order or directive of any governmental, administrative, legislative,
judicial or regulatory authority or powers, or any change in the interpretation thereof that is
applicable to the Issuer and/or (if applicable) the Guarantor, the Issuer may, at its discretion,
cancel the W&C Instruments by giving notice to Holders in accordance with Condition 12
(Notices).
Should any one or more of the provisions contained in these Terms and Conditions be or
become invalid, the validity of the remaining provisions shall not in any way be affected
thereby.
If the Issuer cancels the W&C Instruments then the Issuer will, if and to the extent permitted
by applicable law, pay an amount to each Holder in respect of each W&C Instrument or each
Unit, as the case may be, held by such Holder, which amount shall be the fair market value of
a W&C Instrument or Unit, as the case may be, notwithstanding such illegality less the cost to
the Issuer and/or its Affiliates or agents of unwinding any underlying related hedging
arrangements (including any cost of funding in respect of such hedging arrangements) plus, in
the case of Warrants and if already paid by or on behalf of the Holder, the Exercise Price, all
as determined by the Calculation Agent in its sole and absolute discretion (the "Early
Settlement Amount"). Payment will be made in such manner as shall be notified to the
Holders in accordance with Condition 12 (Notices).
10.
Repurchases
The Issuer, (if applicable) the Guarantor or any of their Affiliates may purchase W&C
Instruments at any time and from time to time outstanding W&C Instruments by tender in the
open market or by private agreement. Such W&C Instruments may be held, reissued, resold
or at the option of the Issuer or (if applicable) the Guarantor, surrendered to any Instrument
Agent for cancellation.
11.
Agents, Determinations, Modifications and Meeting Provisions
(A)
Instrument Agents and Registrar
The specified offices of the Instrument Agents and the Registrar are as set out at the end of
these Terms and Conditions.
In the case of Swedish W&C Instruments, the Issuer has appointed the Swedish Instrument
Agent. The Swedish Instrument Agent acts solely as agent of the Issuer and (if applicable) the
Guarantor and does not assume any obligation to, or relationship of agency and trust with, the
Holders.
In the case of Finnish W&C Instruments, the Issuer has appointed the Finnish Instrument
Agent. The Finnish Instrument Agent acts solely as agent to the Issuer and (if applicable) the
Guarantor and does not assume any obligation to, or relationship of agency with, the Holders.
258
Terms and Conditions of the W&C Instruments
The Issuer and (if applicable) the Guarantor are entitled to vary or terminate the appointment
of any Instrument Agent or the Registrar and/or to appoint additional or other Instrument
Agents or Registrars and/or approve any change in the specified office through which any
Instrument Agent or Registrar acts, provided that:
(i)
at all times there will be a Principal Instrument Agent and a Registrar (which, in the
case of the Registrar, shall be an entity with a specified office outside of the United
Kingdom);
(ii)
so long as any W&C Instruments are listed on any stock exchange or admitted to listing
by any other relevant authority, there will at all times be an Instrument Agent, which
may be the Principal Instrument Agent, with a specified office in such place as may be
required by the rules and regulations of the relevant stock exchange or other relevant
authority;
(iii)
so long as any of the W&C Instruments are represented by a CBF Global W&C
Instrument, there shall be a Frankfurt Instrument Agent;
(iv)
so long as any of the Warrants are represented by a Rule 144A Global Warrant held
through DTC, there shall be a U.S. Warrant Agent;
(v)
so long as any of the W&C Instruments are Swedish W&C Instruments, there shall be a
Swedish Instrument Agent who shall be duly authorised as an account operator and
issuing agent under the Swedish CSD Rules;
(vi)
so long as any of the W&C Instruments are Finnish W&C Instruments, there shall be a
Finnish Instrument Agent who shall be duly authorised as an account operator and
issuing agent under the Euroclear Finland Rules;
(vii)
so long as any of the W&C Instruments are listed on SIX Swiss Exchange, there shall
be a Swiss Programme Agent being a Swiss bank or securities dealer; and
(viii) there shall at all times be a Calculation Agent.
Notice of any variation or termination of appointment and of any changes in the specified
office of any Instrument Agent or the Registrar will be given to Holders in accordance with
Condition 12 (Notices) provided that any failure to give, or non-receipt of, such notice will not
affect the validity of any such variation, termination or changes.
In acting under the English Law Agency Agreement, each Instrument Agent and the Registrar
acts solely as agent of the Issuer and (if applicable) the Guarantor and does not assume any
obligation or duty to, or any relationship of agency or trust for or with, the Holders and any
determinations and calculations by the Instrument Agents or Registrar in respect of the W&C
Instruments shall (save in the case of manifest or proven error) be final, conclusive and
binding on the Issuer, (if applicable) the Guarantor and the Holders.
(B)
Calculation Agent
In relation to each issue of W&C Instruments, the Calculation Agent (whether it be Merrill
Lynch International or another entity) acts solely as agent of the Issuer and (if applicable) the
Guarantor and does not assume any obligation or duty to, or any relationship of agency or trust
for or with, the Holders. All calculations and determinations made in respect of the W&C
Instruments by the Calculation Agent shall be in its sole and absolute discretion (unless, in
respect of the particular calculation or determination to be made, the Terms and Conditions
provide that it shall be made in a "commercially reasonable manner"), in good faith, and shall
(save in the case of manifest or proven error) be final, conclusive and binding on the Issuer, (if
applicable) the Guarantor, the Instrument Agents and the Holders. The Calculation Agent
shall promptly notify the Issuer and the Principal Instrument Agent upon any such calculations
and determinations, and (in the absence of wilful default, bad faith or manifest or proven
error) no liability to the Issuer, (if applicable) the Guarantor, the Instrument Agents or the
Holders shall attach to the Calculation Agent in connection with the exercise or non-exercise
by it of its powers, duties and discretions pursuant to such provisions.
259
Terms and Conditions of the W&C Instruments
The Calculation Agent may, with the consent of the Issuer, delegate any of its obligations and
functions to a suitably competent third party of good standing as it deems appropriate.
(C)
Determinations by the Issuer
Any determination made by the Issuer pursuant to these Terms and Conditions shall (save in
the case of manifest or proven error) be final, conclusive and binding on the Instrument
Agents, the Registrar and the Holders.
(D)
Modifications and Meetings Provisions
The English Law Agency Agreement contains provisions for convening meetings of the
Holders to consider any matter affecting their interests, including the sanctioning by
Extraordinary Resolution of a modification of the Terms and Conditions of the W&C
Instruments or any of the provisions of the English Law Agency Agreement. Such a meeting
may be convened by the Issuer or (if applicable) the Guarantor and shall be convened by the
Issuer if required in writing by the Holders holding not less than 33 per cent. (by number) of
the W&C Instruments of the relevant Series for the time being remaining unexercised. The
quorum at any such meeting for passing an Extraordinary Resolution is one or more persons
present and holding or representing in the aggregate not less than 50 per cent. (by number) of
the W&C Instruments of the relevant Series for the time being unexercised, or at any
adjourned meeting one or more persons present whatever the number of the W&C Instruments
so held or represented by them, except that at any meeting the business of which includes the
modification of certain provisions of the Terms and Conditions of the W&C Instruments
(including modifying the Exercise Date, reducing or cancelling the Cash Settlement Amount
or the Entitlement or the additional amount payable (if applicable) or altering the Cash
Settlement Currency), the quorum shall be one or more persons present and holding or
representing not less than two-thirds (by number) of the W&C Instruments of the relevant
Series for the time being unexercised, or at any adjourned such meeting one or more persons
present and holding or representing not less than one-third (by number) of the W&C
Instruments of the relevant Series for the time being unexercised. An Extraordinary
Resolution passed at any meeting of the Holders shall be binding on all Holders, whether or
not they are present at the meeting.
The relevant Instrument Agents and each Issuer may agree, without the consent of the
Holders, to:
(a)
any modification (except as mentioned above) of the W&C Instruments or English
Law Agency Agreement which is not prejudicial to the interests of the Holders; or
(b)
any modification of the W&C Instruments or the English Law Agency Agreement
which is of a formal, minor or technical nature or is made to correct a manifest or
proven error or to comply with mandatory provisions of the law.
Any such modification shall be binding on the Holders and any such modification shall be
notified to the Holders in accordance with Condition 12 (Notices) as soon as practicable
thereafter.
12.
Notices
In the case of W&C Instruments represented by a Global W&C Instrument, Swedish W&C
Instruments or Finnish W&C Instruments, all notices to Holders shall be valid: (i) if delivered
(x) in the case of W&C Instruments, which are not Swedish W&C Instruments or Finnish
W&C Instruments, to each Clearing System, for communication by them to the Holders, (y) in
the case of Swedish W&C Instruments, by mail to the address registered for such Holder in
the Swedish Register or otherwise in accordance with the rules and regulations of the Swedish
CSD, (z) in the case of Finnish W&C Instruments, by (A) mail from the Issuer or the Finnish
Instrument Agent to the address registered for such Holder in the Finnish Register, (B) e-mail
or other electronic means such as a SWIFT message from the Issuer or the Finnish Instrument
Agent to the e-mail, SWIFT or relevant electronic address for such Holder as provided by
Euroclear Finland, (C) publication in a leading Finnish language daily newspaper of general
circulation in Helsinki (which is expected to be Kauppalehti) or (D) otherwise in accordance
260
Terms and Conditions of the W&C Instruments
with the rules and regulations of Euroclear Finland; (ii) if and so long as the W&C
Instruments are admitted to trading on, and listed on any stock exchange or are admitted to
trading by another relevant authority, if delivered in accordance with the rules and regulations
of the relevant stock exchange or other relevant authority; (iii) if and so long as the W&C
Instruments are listed on SIX Swiss Exchange, in accordance with the rules of SIX Swiss
Exchange and as specified in the Final Terms; and (iv) as otherwise specified in the applicable
Final Terms.
If the W&C Instruments are admitted to trading on the Luxembourg Stock Exchange's Euro
MTF and listed on the Official List of the Luxembourg Stock Exchange, notices shall be
published either in a daily newspaper with general circulation in Luxembourg (which is
expected to be the Luxemburger Wort or Tageblatt) or on the website of the Luxembourg
Stock Exchange (www.bourse.lu).
In the case of Definitive W&C Instruments, notices to the Holders will be deemed to be
validly given if posted to the Holders of such Definitive W&C Instruments at their respective
addresses in the Register.
Any such notice shall be deemed to have been given (i) in the case of W&C Instruments
which are neither Swedish W&C Instruments nor Finnish W&C Instruments and which are
held through a Clearing System, on the day on which such notice is delivered to the relevant
Clearing System, (ii) in the case of W&C Instruments which are not Swedish W&C
Instruments or Finnish W&C Instruments and which are not held through a Clearing System,
on the second Business Day following such publication, (iii) in the case of Swedish W&C
Instruments and Finnish W&C Instruments, (x) if sent by mail to the Holders, on the fourth
weekday (being a day other than a Saturday or a Sunday) following the day on which the
notice was sent by mail, (y) if sent by e-mail to the Holders, on the weekday (being a day
other than a Saturday or a Sunday) following the day on which such e-mail was sent or, (z) in
each case if earlier, the date of such publication or, if published more than once, on the date of
the first such publication, (v) in the case of Definitive Registered Certificates, if sent by post,
on the fourth weekday (being a day other than Saturday or Sunday) after the date of mailing,
or (vi) in the case of W&C Instruments listed on SIX Swiss Exchange, on the day such notice
is published.
13.
14.
Expenses and Taxation
(a)
A Holder of W&C Instruments must pay all taxes, duties and/or expenses, including
any applicable depositary charges, transaction or exercise charges, stamp duty, stamp
duty reserve tax, issue, registration, securities transfer and/or other taxes or duties
arising from the exercise and settlement of such W&C Instruments and/or, if
applicable, the delivery of the Entitlement pursuant to the terms of such W&C
Instruments (together "Expenses").
(b)
The Issuer shall not be liable for or otherwise obliged to pay any tax, duty,
withholding or other payment which may arise as a result of the ownership, transfer,
exercise or enforcement of any W&C Instrument by any person and all payments
made by the Issuer shall be made subject to any such tax, duty, withholding or other
payment which may be required to be made, paid, withheld or deducted.
Further Issues
The Issuer shall be at liberty from time to time without the consent of Holders to create and
issue further W&C Instruments so as to be consolidated with and form a single Series with the
outstanding W&C Instruments.
15.
Substitution of the Issuer, Consolidation and Merger
(A)
Substitution of the Issuer
The Issuer, or any previous substituted company or other entity, may, at any time, without the
consent of the Holders, substitute for itself as principal obligor under the W&C Instruments
261
Terms and Conditions of the W&C Instruments
any company or other entity (the "Substitute") being the Guarantor or any of its other
subsidiaries, subject to:
(B)
(i)
(except in the case of the substitution of the Guarantor), the W&C Instruments (other
than the Secured W&C Instruments) being guaranteed by the Guarantor on the same
terms, mutatis mutandis, as the W&C Instruments (other than the Secured W&C
Instruments);
(ii)
all actions, conditions and things required to be taken, fulfilled and done (including
the obtaining of any necessary consents) to ensure that the W&C Instruments
represent legal, valid and binding obligations of the Substitute having been taken,
fulfilled and done and are in full force and effect;
(iii)
the Substitute shall have become party to the English Law Agency Agreement, with
any appropriate consequential amendments, as if it had been an original party to it;
(iv)
the Substitute and the Issuer shall have obtained legal opinions from independent
legal advisers of recognised standing in the country of incorporation or other form of
organisation of the Substitute, and (if the Guarantor is not the Substitute and other
than in respect of Secured W&C Instruments) the States of Delaware and New York
and England, that the obligations of the Substitute and (if the Guarantor is not the
Substitute and other than in respect of Secured W&C Instruments) the Guarantor are
legal, valid and binding obligations, that all consents and approvals as aforesaid have
been obtained;
(v)
the Issuer shall have given at least 30 calendar days' prior notice of the date of such
substitution to the Holders in accordance with Condition 12 (Notices);
(vi)
each stock exchange or market on which the W&C Instruments are listed or admitted
to trading shall have confirmed that, following the proposed substitution by the
Substitute, the W&C Instruments will continue to be listed or admitted to trading on
such stock exchange(s) or such market(s), as the case may be;
(vii)
if appropriate, the Substitute shall have appointed a process agent as its agent in
England to receive service of process on its behalf in relation to any legal action or
proceedings arising out of or in connection with the W&C Instruments;
(viii)
if the W&C Instruments are Swedish W&C Instruments, the Swedish CSD having
given its consent to such substitution (such consent not to be unreasonably withheld
or delayed); and
(ix)
if the W&C Instruments are Finnish W&C Instruments, Euroclear Finland having
given its consent to such substitution (such consent not to be unreasonably withheld
or delayed).
Consolidation or Merger
The Issuer or (if applicable) the Guarantor may consolidate with, or sell or convey all or
substantially all of its assets to, or merge with or into any other company provided that in any
such case, (a) in the case of the Issuer, either the Issuer shall be the continuing company, or
the successor company shall expressly assume the due and punctual payment of all amounts or
delivery of all assets, as the case may be, payable or deliverable, as applicable, with respect to
the W&C Instruments, according to their tenor, and the due and punctual performance and
observance of all of the obligations under the Conditions to be performed by the Issuer by an
amendment to the English Law Agency Agreement executed by, inter alios, such successor
company, the Guarantor and the Principal Instrument Agent, and (b) in the case of the
Guarantor and, with respect to W&C Instruments other than Secured W&C Instruments, the
Guarantor shall be the continuing company, or the successor company shall be a company
organised and existing under the laws of the United States or a state thereof or the District of
Columbia and such successor company shall expressly assume (i) the due and punctual
payment of all amounts or delivery of all assets, as the case may be, payable or deliverable, as
applicable, with respect to the Non-COSI Guarantee and (ii) the obligations for payment of
262
Terms and Conditions of the W&C Instruments
any Shortfall with respect to the Swiss COSI Guarantee, in each case by the execution of a
new guarantee of like tenor. In case of any such consolidation, merger, sale or conveyance
and upon any such assumption by the successor company, such successor company shall
succeed to and be substituted for the Issuer or (if applicable) the Guarantor, as the case may
be, with the same effect as if it had been named herein as the Issuer or (if applicable) the
Guarantor, as the case may be, and the Issuer or (if applicable) the Guarantor, as the case may
be, except in the event of a conveyance by way of lease, shall be relieved of any further
obligations under the Conditions, the English Law Agency Agreement and (if applicable) each
Guarantee, as applicable.
16.
Governing Law and Submission to Jurisdiction
(A)
Governing law
The W&C Instruments, Global W&C Instruments, Definitive W&C Instruments, the English
Law Agency Agreement and the W&C Instruments Deed of Covenant and any noncontractual obligations arising out of the W&C Instruments, Global W&C Instruments,
Definitive W&C Instruments, the English Law Agency Agreement and the W&C Instruments
Deed of Covenant (including without limitation any dispute, controversy, proceedings or
claim of whatever nature (whether contractual, non-contractual or otherwise) arising out of or
in any way relating to the W&C Instruments, Global W&C Instruments, Definitive W&C
Instruments, the English Law Agency Agreement and the W&C Instruments Deed of
Covenant or their respective formation) shall be governed by, and construed in accordance,
with English law.
Each Guarantee is governed by, and shall be construed in accordance with, the laws of the
State of New York, United States, applicable to agreements made and to be performed wholly
within such jurisdiction without regard to principles of conflicts of laws.
(B)
Submission to jurisdiction
In relation to any legal action or proceedings arising out of or in connection with the W&C
Instruments and the Global W&C Instruments ("Proceedings"), the courts of England have
exclusive jurisdiction and the Issuer and the Holders submit to the exclusive jurisdiction of the
English courts. The Issuer and the Holders waive any objection to Proceedings in the English
courts on the grounds of venue or that the Proceedings have been brought in an inconvenient
forum.
For greater certainty, the Guarantor has not submitted to the jurisdiction of the English courts
in the Guarantees, and claims under the Guarantees are required to be instituted in the U.S.
federal court in the Borough of Manhattan in the City and State of New York, United States.
(C)
Appointment of Process Agent
The Issuer hereby appoints Merrill Lynch Corporate Services Limited, currently at 2 King
Edward Street, London EC1A 1HQ as its agent in England to receive service of process in any
Proceedings in England. If for any reason such process agent ceases to act as such or no
longer has an address in England, the Issuer agrees to appoint a substitute process agent and to
notify the Holders of such appointment. Nothing herein shall affect the right to serve process
in any other manner permitted by law.
17.
Adjustments for European Economic and Monetary Union
The Issuer may, without the consent of the Holders, on giving notice to the Holders in
accordance with Condition 12 (Notices):
(a)
elect that, with effect from the Adjustment Date specified in the notice, certain terms
of the W&C Instruments shall be redenominated in euro.
The election will have effect as follows:
263
Terms and Conditions of the W&C Instruments
(b)
(i)
where the Settlement Currency of the W&C Instruments is the National
Currency Unit of a country which is participating in the third stage of
European Economic and Monetary Union, such Settlement Currency shall be
deemed to be an amount of euro converted from the original Settlement
Currency into euro at the Established Rate, subject to such provisions (if
any) as to rounding as the Calculation Agent may decide and as may be
specified in the notice, and after the Adjustment Date, all payments of the
Cash Settlement Amount in respect of the W&C Instruments will be made
solely in euro as though references in the W&C Instruments to the
Settlement Currency were to euro;
(ii)
where the Exchange Rate and/or any other terms of these Terms and
Conditions are expressed in or, in the case of the Exchange Rate,
contemplate the exchange from or into, the currency (the "Original
Currency") of a country which is participating in the third stage of
European Economic and Monetary Union, such Exchange Rate and/or any
other terms of these Terms and Conditions shall be deemed to be expressed
in or, in the case of the Exchange Rate, converted for or, as the case may be
into, euro at the Established Rate; and
(iii)
such other changes shall be made to these Terms and Conditions as the
Issuer may decide, in its sole and absolute discretion to conform them to
conventions then applicable to instruments expressed in euro; and/or
require that the Calculation Agent make such adjustments to the Multiplier and/or, in
the case of Warrants, the Exercise Price and/or any other terms of these Terms and
Conditions and/or the applicable Final Terms as the Calculation Agent, in its sole
discretion, may determine to be appropriate to account for the effect of the third stage
of European Economic and Monetary Union on the Multiplier and/or, in the case of
Warrants, the Exercise Price and/or such other terms of these Terms and Conditions.
Notwithstanding the foregoing, none of the Issuer, any of its Affiliates or agents, the
Calculation Agent, any Instrument Agent and the Registrar shall be liable to any Holder or
other person for any commissions, costs, losses or expenses in relation to or resulting from the
transfer of euro or any currency conversion or rounding effected in connection therewith.
In this Condition, the following expressions have the following meanings:
"Adjustment Date" means a date specified by the Issuer in the notice given to the Holders
pursuant to this Condition which falls on or after the date on which the country of the Original
Currency first participates in the third stage of European Economic and Monetary Union
pursuant to the Treaty;
"Established Rate" means the rate for the conversion of the Original Currency (including
compliance with rules relating to rounding in accordance with applicable European
Community regulations) into euro established by the Council of the European Union pursuant
to first sentence of Article 1091(4) of the Treaty;
"euro" means the lawful single currency of the member states of the European
Union that have adopted and continue to retain a common single currency
through monetary union in accordance with European Union treaty law (as
amended from time to time);
"National Currency Unit" means the unit of the currency of a country, as those units are
defined on the date on which the country of the Original Currency first participates in
European Economic and Monetary Union; and
"Treaty" means the treaty establishing the European Community, as amended from time to
time.
264
Terms and Conditions of the W&C Instruments
18.
Contracts (Rights of Third Parties) Act 1999
The W&C Instruments do not confer on any third party any rights under the Contracts (Rights
of Third Parties) Act 1999 (the "Act") to enforce any term of the W&C Instruments, but this
does not affect any right or remedy of a third party which exists or is available apart from the
Act.
19.
Terms applicable to Warrants only
Conditions 20 (Definitions (Warrants)), 21 (Form of Warrants), 22 (Style and Title
(Warrants)), 23 (Exercise Rights (Warrants)), 24 (Exercise Procedure (Warrants)) and 25
(Additional Amounts) apply to Warrants only.
20.
Definitions (Warrants)
For the purposes of the Warrants:
"Exercise Business Day" means a day that is a Business Day and, in the case of an Index
Linked Warrant or Share Linked Warrant, a Scheduled Trading Day; and
"In-The-Money" means:
21.
(a)
in the case of a Cash Settled Warrant, the Cash Settlement Amount in respect of such
Warrant is greater than zero; and
(b)
in the case of a Physical Delivery Warrant, the value of the Entitlement on the Actual
Exercise Date for such Warrant is greater than the Exercise Price as determined by
the Calculation Agent.
Form of Warrants
If the Warrants are to be issued into and transferred through accounts at Euroclear and
Clearstream, Luxembourg, and are not eligible for sale in the United States or to, or for the
account or benefit of, United States Persons, such Series of Warrants will on issue be
constituted by a global registered warrant (the "Euroclear/CBL Global Registered
Warrant"), which will be deposited with, and registered in the name of the nominee of, the
Common Depositary.
If the Warrants are to be issued into and transferred through accounts at Clearstream,
Frankfurt, such Warrants are not eligible for sale in the United States or to, or for the account
or benefit of, United States Persons, and will on issue be constituted by a global bearer
warrant (the "CBF Global Warrant"), provided, however, that the CBF Global Warrants will
be treated as in registered form for United States federal income tax purposes. The CBF
Global Warrant will be delivered on or prior to the issue date of the relevant Series of CBF
Global Warrants to Clearstream, Frankfurt.
The Euroclear/CBL Global Registered Warrants and the CBF Global Warrants are referred to
herein as the "Global Warrants" and each a "Global Warrant".
Euroclear/CBL Global Registered Warrants will be exchangeable in whole, but not in part, for
individual warrant certificates:
(a)
on the expiry of such period of notice as may be specified in the applicable Final
Terms; or
(b)
at any time, if so specified in the applicable Final Terms; or
(c)
if the Issuer has been notified that both Euroclear and Clearstream, Luxembourg have
been closed for business for a continuous period of 14 calendar days (other than by
reason of holiday, statutory or otherwise) or have announced an intention permanently
to cease business or have in fact done so and, in any such case, no successor clearing
system is available; or
265
Terms and Conditions of the W&C Instruments
(d)
the Issuer or the Guarantor has or will become subject to adverse tax consequences
which would not be suffered were the Warrants held in definitive form.
Whenever the Euroclear/CBL Global Registered Warrant is to be exchanged for individual
warrant certificates, such individual warrant certificates shall be issued in equal number to the
number of Warrants represented by the Global Warrant within five Business Days of the
delivery, by or on behalf of the registered holder of the Euroclear/CBL Global Registered
Warrant to the Principal Warrant Agent of such information as is required to complete and
deliver such individual warrant certificates (including, without limitation, the names and
addresses of the persons in whose names the individual warrant certificates are to be registered
and the principal amount of each such person's holding) against the surrender of the
Euroclear/CBL Global Registered Warrant at the specified office of the Principal Warrant
Agent.
Such exchange will be effected in accordance with the provisions of the English Law Agency
Agreement and the regulations concerning the transfer and registration of Warrants scheduled
thereto and, in particular, shall be effected without charge to any Holder, but against such
indemnity as the Principal Warrant Agent may require in respect of any tax or other duty of
whatsoever nature which may be levied or imposed in connection with such exchange.
If:
(a)
individual warrant certificates have not been delivered by 5.00 p.m. (London time) on
the thirtieth calendar day after they are due to be issued and delivered in accordance
with the terms of the Euroclear/CBL Global Registered Warrant; or
(b)
the date for final settlement of the Warrants has occurred and payment in full of all
amounts due has not been made to the Holder of the Euroclear/CBL Global Registered
Warrant on the due date for payment in accordance with the terms of the
Euroclear/CBL Global Registered Warrant,
then the Euroclear/CBL Global Registered Warrant (including the obligation to deliver
individual warrant certificates) will become void at 5.00 p.m. (London time) on such thirtieth
calendar day (in the case of (a) above) or at 5.00 p.m. (London time) on such due date (in the
case of (b) above) and the holder of the Euroclear/CBL Global Registered Warrant will have
no further rights thereunder (but without prejudice to the rights which the holder of the
Euroclear/CBL Global Registered Warrant or others may have under the W&C Instruments
Deed of Covenant). Under the W&C Instruments Deed of Covenant, each Holder is entitled
to exercise or enforce in respect of each Warrant held by him, the rights and obligations
attaching to the relevant Warrant as set out in, and subject to, the W&C Instruments Deed of
Covenant, the Conditions and the applicable Final Terms issued in respect of such Warrants.
If the Warrants are to be issued into and cleared through the Swedish CSD ("Swedish
Warrants"), such Swedish Warrants are not eligible for sale in the United States or to, or for
the account or benefit of, United States Persons, and will be issued in dematerialised and
uncertificated book-entry form in accordance with the Swedish Financial Instruments
Accounts Act (in Swedish: lag (1998: 1479) om kontoföring av finansiella instrument).
If the Warrants are to be issued into and cleared through Euroclear Finland ("Finnish
Warrants"), such Finnish Warrants are not eligible for sale in the United States or to, or for
the account or benefit of, United States Persons, and will be issued in dematerialised and
uncertificated book-entry form in accordance with the Finnish Act on the Book-Entry System
and Clearing Operations (in Finnish: laki arvo-osuusjärjestelmästä ja selvitystoiminnasta
(749/2012)) and the Finnish Act on Book-Entry Accounts (in Finnish: laki arvo-osuustileistä
(827/1991)) and the Euroclear Finland Rules.
If the Warrants are to be listed on SIX Swiss Exchange and/or issued and transferred through
accounts at SIS, including such Warrants that are Swiss COSIs ("Swiss Warrants"), such
Warrants are not eligible for sale in the United States or to, or for the account or benefit of,
United States Persons and will on issue be constituted as uncertificated securities which will
be entered into the main register (Hauptregister) of SIS on the Issue Date.
266
Terms and Conditions of the W&C Instruments
As a matter of Swiss law, once Swiss Warrants issued in the form of uncertificated securities
are entered into the main register (Hauptregister) of SIS and are entered into the accounts of
one or more participants of SIS, the respective Swiss Warrants will constitute Intermediated
Securities.
No Holder of Swiss Warrants will at any time have the right to effect or demand the
conversion of the uncertificated securities representing such Swiss Warrants into, or the
delivery of, Warrants in definitive form. However, Swiss Warrants in uncertificated form will
be exchangeable (free of charge) in whole but not in part for Swiss Individual Warrant
Certificates representing definitive Warrants in registered form ("Swiss Definitive Registered
Warrants") (i) at the option of the Issuer if the Issuer has been notified by the Swiss
Programme Agent that SIS has been closed for business for a continuous period of 14 calendar
days (other than by reason of holiday, statutory or otherwise) or has announced an intention
permanently to cease business or has in fact done so and no successor clearing system is
available (an "SIS Exchange Event"), or (ii) in the case of Swiss Warrants listed on SIX
Swiss Exchange, at the option of the Swiss Programme Agent if the Swiss Programme Agent
determines that such exchange is necessary or useful or that the presentation of Warrants in
definitive form is required by Swiss or foreign laws or regulations in connection with the
enforcement of rights.
The Issuer will promptly give notice to Holders in accordance with Condition 12 (Notices) if
an SIS Exchange Event occurs. In the event of the occurrence of an SIS Exchange Event, SIS
may give notice to the Swiss Programme Agent requesting exchange. Any such exchange
shall occur not later than 45 calendar days after the date of receipt of the first relevant notice
by the Swiss Programme Agent from SIS.
If Swiss Individual Warrant Certificates representing Swiss Definitive Registered Warrants are
printed and issued in exchange for Swiss Warrants in uncertificated form, the Swiss
Programme Agent will (i) deregister such Swiss Warrants in the "uncertificated securities
book", and (ii) deliver the Swiss Individual Warrant Certificates representing Swiss Definitive
Registered Warrants to the relevant Holders.
Whenever a Swiss Warrant in uncertificated form is to be exchanged for Swiss Individual
Warrant Certificates, the Issuer shall procure that the number or nominal amount of Swiss
Individual Warrant Certificates issued will be equal to the number or nominal amount
represented by the Swiss Warrants in uncertificated form within five Business Days of the
delivery, by or on behalf of the registered holder of the Swiss Warrants in uncertificated form
to the Swiss Programme Agent of such information as is required to complete and deliver such
Swiss Individual Warrant Certificates (including, without limitation, the names and addresses
of the persons in whose names the Swiss Individual Warrant Certificates are to be registered
and the number or nominal amount of each such person's holding).
Such exchange will be effected in accordance with the provisions of the English Law Agency
Agreement and, in particular, shall be effected without charge to any Holder, but against such
indemnity as the Swiss Programme Agent may require in respect of any tax or other duty of
whatsoever nature which may be levied or imposed in connection with such exchange.
22.
Style and Title (Warrants)
(A)
Style
The applicable Final Terms will indicate whether the Warrants are American style Warrants
("American Style Warrants") or European style Warrants ("European Style Warrants") or
such other type as may be specified in the applicable Final Terms and whether automatic
exercise ("Automatic Exercise") applies to the Warrants or such other type as may be
specified in the applicable Final Terms and whether the Warrants may only be exercised in
Units. If Units are specified in the applicable Final Terms, Warrants must be exercised in
Units and any Exercise Notice which purports to exercise Warrants in breach of this provision
shall be void and of no effect.
267
Terms and Conditions of the W&C Instruments
If the Warrants are Swedish Warrants or Finnish Warrants they will be European Style
Warrants, Cash Settled W&C Instruments and Automatic Exercise will apply.
(B)
Definitive Registered Warrants and Swiss Definitive Registered Warrants
(i)
Transfers of Definitive Registered Warrants and Swiss Definitive Registered Warrants
Transfers of Definitive Registered Warrants and Swiss Definitive Registered Warrants
are effected upon (i) the surrender (at, in the case of Definitive Registered Warrants,
the specified office of the Principal Warrant Agent or, in the case of Swiss Definitive
Registered Warrants, the specified office of the Swiss Programme Agent) of the
individual warrant certificates representing such Definitive Registered Certificates or
Swiss Individual Warrant Certificates representing such Swiss Definitive Registered
Warrants, as applicable, to be transferred, together with the form of transfer (which
shall be available at, in the case of Definitive Registered Warrants, the specified office
of the Principal Warrant Agent or, in the case of Swiss Definitive Registered Warrants,
the specified office of the Swiss Programme Agent) endorsed on such individual
warrant certificate or Swiss Individual Warrant Certificate, as applicable (or another
form of transfer substantially in the same form and containing the same representations
and certifications (if any), unless otherwise agreed by the Issuer), duly completed and
executed and any other evidence as the Principal Warrant Agent or Swiss Programme
Agent may reasonably require, (ii) the recording of such transfer, in the case of
Definitive Registered Warrants, in the Register or, in the case of the Swiss Definitive
Registered Warrants, in the register kept by the Swiss Programme Agent and (iii) the
issuance of a new individual warrant certificate or Swiss Individual Warrant
Certificate, as applicable, to the transferee.
(ii)
Part Transfer of Definitive Registered Warrants and Swiss Definitive Registered
Warrants
In the case of a transfer of part only of a holding of a Definitive Registered Warrant
represented by one individual warrant certificate or of a Swiss Definitive Registered
Warrant represented by one Swiss Individual Warrant Certificate, a new individual
warrant certificate or Swiss Individual Warrant Certificate, as applicable, shall be
issued to the transferee in respect of the part transferred and a further new individual
certificate or Swiss Individual Warrant Certificate, as applicable, in respect of the
balance of the holding not transferred shall be issued to the transferor.
(C)
Delivery of New Individual Warrant Certificates and Swiss Individual Warrant Certificates
Each new individual warrant certificate or Swiss Individual Warrant Certificate to be issued
pursuant to this Condition 22 (Style and Title (Warrants)) shall be available for delivery
within three Business Days of receipt of the form of transfer and surrender of the individual
warrant certificate or Swiss Individual Warrant Certificate, as applicable, for exchange.
Delivery of the new individual warrant certificate(s) or Swiss Individual Warrant
Certificate(s), as applicable, shall be made, in the case of individual warrant certificate(s), at
the specified office of the Principal Warrant Agent or, in the case of Swiss Individual Warrant
Certificate(s), at the specified office of the Swiss Programme Agent, to whom delivery or
surrender of such request for exchange, form of transfer, or individual warrant certificate or
Swiss Individual Warrant Certificate shall have been made or, at the option of the Holder
making such delivery or surrender as aforesaid and as specified in the relevant request for
exchange, form of transfer or otherwise in writing, be mailed by uninsured post at the risk of
the Holder entitled to the new individual warrant certificate or Swiss Individual Warrant
Certificate (as applicable) to such address as may be so specified, unless such Holder requests
otherwise and pays in advance to the Principal Warrant Agent or the Swiss Programme Agent,
as applicable, the costs of such other method of delivery and/or such insurance as it may
specify.
268
Terms and Conditions of the W&C Instruments
(D)
Closed Periods in respect of Definitive Registered Warrants and Swiss Definitive Registered
Warrants
No Holder may require the transfer of a Definitive Registered Warrant or Swiss Definitive
Registered Warrant to be registered:
(E)
(i)
during the period of 15 calendar days before any date on which Warrants may be called
for automatic exercise by the Issuer at its option pursuant to Condition 23(D) (Issuer
Call Option);
(ii)
after any such Warrant has been called for automatic exercise, cancellation or
settlement; or
(iii)
during the period of seven calendar days ending on (and including) any Record Date
and/or Additional Amount Payment Record Date.
Exchange Free of Charge
Exchange and transfer of Warrants on registration, transfer, automatic exercise, settlement,
cancellation or exercise of an option (as applicable) shall be effected without charge by or on
behalf of the Issuer, the Principal Warrant Agent or the Swiss Programme Agent, as
applicable, but upon payment of any tax or other governmental charges that may be imposed
in relation to it (or the giving of such indemnity as the Principal Warrant Agent or Swiss
Programme Agent, as applicable, may require).
23.
Exercise Rights (Warrants)
(A)
Exercise Period
(a)
American Style Warrants
American Style Warrants are exercisable on any Exercise Business Day during the
Exercise Period.
If Automatic Exercise is not specified in the applicable Final Terms, in the case of
Warrants represented by a Global Warrant, any such American Style Warrant with
respect to which no Exercise Notice (as defined below) has been delivered in the
manner set out in Condition 24 (Exercise Procedure (Warrants)), at or prior to 10.00
a.m., Brussels, Luxembourg or Frankfurt time, as the case may be, on the last Exercise
Business Day of the Exercise Period (the "Expiration Date"), shall become void.
If Automatic Exercise is specified in the applicable Final Terms, in the case of
Warrants represented by a Global Warrant, any such American Style Warrant with
respect to which no Exercise Notice has been delivered in the manner set out in
Condition 24 (Exercise Procedure (Warrants)), at or prior to 10.00 a.m., Brussels,
Luxembourg or Frankfurt time, as the case may be, on the Expiration Date and which is
in the determination of the Calculation Agent "In-The-Money" shall be automatically
exercised on the Expiration Date, but payment or delivery of the Entitlement is subject
to the delivery of a duly completed Exercise Notice as set forth in Condition 24(E)
(Exercise Procedure (Warrants) – Automatic Exercise). In such event, the provisions
of Condition 24(E) (Exercise Procedure (Warrants) – Automatic Exercise) shall apply.
In the case of Warrants represented by a Global Warrant, the Exercise Business Day
during the Exercise Period on which an Exercise Notice is delivered prior to 10.00
a.m., Brussels, Luxembourg or Frankfurt time (as appropriate), to Euroclear,
Clearstream, Luxembourg or the Frankfurt Warrant Agent, as the case may be, and, a
copy thereof is delivered to Merrill Lynch International and the Principal Warrant
Agent, in each case as provided in Condition 24 (Exercise Procedure (Warrants)), or,
if Automatic Exercise is specified in the applicable Final Terms and the Warrants are
automatically exercised on the Expiration Date as provided above, the Expiration Date,
is referred to herein as the "Actual Exercise Date". If any such Exercise Notice is
received by Euroclear or Clearstream, Luxembourg or the Frankfurt Warrant Agent, as
269
Terms and Conditions of the W&C Instruments
the case may be, or if a copy thereof is delivered to Merrill Lynch International and the
Principal Warrant Agent, in each case, after 10.00 a.m., Brussels, Luxembourg or
Frankfurt time (as appropriate), on any Exercise Business Day during the Exercise
Period, such Exercise Notice will be deemed to have been delivered on the next
Exercise Business Day, which Exercise Business Day shall be deemed to be the Actual
Exercise Date, provided that any such Warrant in respect of which no Exercise Notice
has been delivered in the manner set out in Condition 24 (Exercise Procedure –
Warrants) at or prior to 10.00 a.m. Brussels, Luxembourg or Frankfurt (as appropriate)
on the Expiration Date shall (i) if Automatic Exercise is not specified in the applicable
Final Terms, become void or (ii) if Automatic Exercise is specified in the applicable
Final Terms, be automatically exercised or expire on the Expiration Date as provided
above and in Condition 24(E) (Exercise Procedure (Warrants) – Automatic Exercise).
In the case of Swiss Warrants, the Exercise Business Day during the Exercise Period on
which an Exercise Notice is delivered prior to 10.00 a.m. Zurich time, to the Swiss
Programme Agent and, a copy thereof is delivered to Merrill Lynch International, in
each case as provided in Condition 24 (Exercise Procedure (Warrants)), or, if
Automatic Exercise is specified in the applicable Final Terms and the Swiss Warrants
are automatically exercised on the Expiration Date as provided above, the Expiration
Date, is referred to herein as the "Actual Exercise Date". If any such Exercise Notice
is received by the Swiss Programme Agent, or if a copy thereof is delivered to Merrill
Lynch International, in each case, after 10.00 a.m., Zurich time, on any Exercise
Business Day during the Exercise Period, such Exercise Notice will be deemed to have
been delivered on the next Exercise Business Day, which Exercise Business Day shall
be deemed to be the Actual Exercise Date, provided that any such Swiss Warrant in
respect of which no Exercise Notice has been delivered in the manner set out in
Condition 24 (Exercise Procedure (Warrants)) at or prior to 10.00 a.m. Zurich time on
the Expiration Date shall (i) if Automatic Exercise is not specified in the applicable
Final Terms, become void or (ii) if Automatic Exercise is specified in the applicable
Final Terms, be automatically exercised or expire on the Expiration Date as provided
above and in Condition 24(E) (Exercise Procedure (Warrants) – Automatic Exercise).
The expressions "exercise", "due exercise" and related expressions shall be construed
to apply to any Warrants which are automatically exercised on the Expiration Date in
accordance with this provision.
(b)
European Style Warrants other than Credit Linked Warrants
European Style Warrants are only exercisable on the Exercise Date.
In the case of Warrants represented by a Global Warrant, if Automatic Exercise is not
specified in the applicable Final Terms, any European Style Warrant with respect to
which no Exercise Notice has been delivered in the manner set out in Condition 24
(Exercise Procedure (Warrants)), at or prior to 10.00 a.m., Brussels, Luxembourg or
Frankfurt time (as appropriate) on the Actual Exercise Date, shall become void. If
Automatic Exercise is specified in the applicable Final Terms, any such European Style
Warrant with respect to which no Exercise Notice has been delivered in the manner set
out in Condition 24 (Exercise Procedure (Warrants)), at or prior to 10.00 a.m.,
Brussels, Luxembourg or Frankfurt time, as the case may be, on the Actual Exercise
Date and which is in the determination of the Calculation Agent "In-The-Money", shall
be automatically exercised on the Actual Exercise Date and the provisions of Condition
24(E) (Exercise Procedure (Warrants) – Automatic Exercise) shall apply.
In the case of Swedish Warrants, if any such Warrant is in the determination of the
Calculation Agent "In-The-Money" on the Actual Exercise Date, such Warrant shall be
automatically exercised on the Actual Exercise Date.
The expressions "exercise", "due exercise" and related expressions shall be construed
to apply to any Warrants which are automatically exercised on the Actual Exercise
Date in accordance with this provision.
270
Terms and Conditions of the W&C Instruments
(c)
Credit Linked Warrants
Credit Linked Warrants shall be automatically exercised on the Long Exercise Date or
the Short Exercise Date (as the case may be) in accordance with Credit Linked W&C
Instruments Condition 3.
(B)
Cash Settlement
In the case of Warrants which are Cash Settled Warrants, each such Warrant or, if Units are
specified in the applicable Final Terms, each Unit, entitles its holder, upon due exercise and
(except for Rule 144A Warrants) subject to certification as to non-U.S. beneficial ownership
to receive from the Issuer on the Settlement Date the Cash Settlement Amount.
(C)
Physical Settlement
If the Warrants are Physical Delivery Warrants (except for Rule 144A Warrants), each such
Warrant or, if Units are specified in the applicable Final Terms, each Unit, as the case may be,
entitles its holder, upon due exercise and, subject to certification as to non-U.S. beneficial
ownership, to receive from the Issuer on the Settlement Date the Entitlement or, in the case of
Credit Linked Warrants, Delivery of the Deliverable Obligations comprising the Entitlement,
subject to payment of the relevant Exercise Price, if any, and any other Expenses or sums
payable. The method of delivery of the Entitlement is set out in the applicable Final Terms.
Unless otherwise specified in the applicable Final Terms, Warrants or Units, as the case may
be, exercised at the same time by the same Holder will be aggregated for the purpose of
determining the aggregate Entitlements in respect of such Warrants or Units, as the case may
be, provided that the aggregate Entitlements in respect of the same Holder will be rounded
down to the nearest whole unit of the Relevant Asset or each of the Relevant Assets, as the
case may be, in such manner as the Calculation Agent shall determine. Therefore, fractions of
the Relevant Asset or of each of the Relevant Assets, as the case may be, will not be delivered
and in lieu thereof a cash adjustment calculated by the Calculation Agent in its sole and
absolute discretion shall be paid to the Holder.
Following exercise of a Share Linked Warrant which is a Physical Delivery Warrant, all
dividends on the relevant Shares to be delivered will be payable to the party that would receive
such dividend according to market practice for a sale of the Shares executed on the relevant
Actual Exercise Date and to be delivered in the same manner as such relevant Shares. Any
such dividends to be paid to a Holder will be paid to the account specified by the Holder in the
relevant Exercise Notice as referred to in Condition 24(A)(a)(2)(v), Condition 24(A)(b)(2)(iv)
or Condition 24(A)(c)(2)(v), as applicable.
All references in this Condition to "Brussels, Luxembourg, Frankfurt or Zurich time" shall,
where W&C Instruments are cleared through an additional or alternative clearing system other
than the Swedish CSD or Euroclear Finland, be deemed to refer as appropriate to the time in
the city where the relevant clearing system is located.
(D)
Issuer Call Option
If Issuer Call Option is specified as applicable in the applicable Final Terms, the Issuer,
having given not less than 10 nor more than 60 calendar days' notice (or such other Issuer Call
Option Notice Period as is set out in the applicable Final Terms) to the Holders in accordance
with Condition 12 (Notices) (which notice shall be irrevocable), may elect that all (but not less
than all) of the Warrants will be automatically exercised on the Call Option Date. If Call
Option Cash Settlement is specified as applicable in the applicable Final Terms,
notwithstanding any provision to the contrary in the Terms and Conditions and/or the
applicable Final Terms (a) if the Warrants are not Cash Settled Warrants, the Warrants shall be
deemed to be Cash Settled Warrants and (b) the Cash Settlement Amount shall be the Call
Option Cash Settlement Amount specified in the applicable Final Terms.
If the Warrants are automatically exercised on the Call Option Date, (i) the Call Option Date
shall be deemed to be the Expiration Date (in the case of American Style Warrants) or the
Exercise Date (in the case of European Style Warrants), (ii) except in the case of Swedish
271
Terms and Conditions of the W&C Instruments
Warrants and Finnish Warrants, the provisions of Condition 24(E) (Exercise Procedure
(Warrants) – Automatic Exercise) shall apply, (iii) the provisions of Conditions 24(C) shall
apply and (iv) the expressions "exercise", "due exercise" and related expressions shall be
construed to apply to any Warrants which are automatically exercised on the Call Option Date
in accordance with this provision.
(E)
Mandatory Early Exercise
If Mandatory Early Exercise is specified as applicable in the applicable Final Terms and a
Mandatory Early Exercise Event occurs, all (but not less than all) of the Warrants will be
automatically exercised on the Mandatory Early Exercise Date. If Mandatory Early Exercise
Cash Settlement is specified as applicable in the applicable Final Terms, notwithstanding any
provision to the contrary in the Terms and Conditions and/or the applicable Final Terms (a) if
the Warrants are not Cash Settled Warrants, the Warrants shall be deemed to be Cash Settled
Warrants and (b) the Cash Settlement Amount shall be the Mandatory Early Exercise Cash
Settlement Amount specified in the applicable Final Terms, which shall be payable on the
Mandatory Early Exercise Cash Settlement Date.
If the Warrants are automatically exercised on the Mandatory Early Exercise Date, (i) the
Mandatory Early Exercise Date shall be deemed to be the Expiration Date (in the case of
American Style Warrants) or the Exercise Date (in the case of European Style Warrants), (ii)
except in the case of Swedish Warrants and Finnish Warrants, the provisions of Condition
24(E) (Exercise Procedure (Warrants) – Automatic Exercise) shall apply, (iii) the provisions
of Conditions 24(C) shall apply and (iv) the expressions "exercise", "due exercise" and related
expressions shall be construed to apply to any Warrants which are automatically exercised on
the Mandatory Early Exercise Date in accordance with this provision.
24.
Exercise Procedure (Warrants)
(A)
Exercise Notices
(a)
Warrants represented by a Euroclear/CBL Global Registered Warrant
Subject as provided in Condition 24(E) (Exercise Procedure (Warrants) – Automatic
Exercise), Warrants represented by a Euroclear/CBL Global Registered Warrant may
only be exercised by the sending of an authenticated instruction by SWIFT message or
by any other authorised communication channel, in accordance with Euroclear and/or
Clearstream, Luxembourg's rules and operating procedures (an "Exercise Notice")
which includes the information set out in the English Law Agency Agreement (copies
of which may be obtained from Euroclear, Clearstream, Luxembourg and the relevant
Instrument Agents) to Euroclear or Clearstream, Luxembourg, as the case may be in
accordance with the provisions of Condition 23 (Exercise Rights (Warrants)) and this
Condition. Euroclear and Clearstream, Luxembourg will send copies of any Exercise
Notices so received to the Principal Warrant Agent and the Principal Warrant Agent
will send such copies to Merrill Lynch International.
(1)
In the case of Cash Settled Warrants, the Exercise Notice shall, unless otherwise
agreed:
(i)
specify the ISIN of the Warrants and the number of Warrants being
exercised and, if Units are specified in the applicable Final Terms, the
number of Units being exercised;
(ii)
specify the number of the Holder's account at Euroclear or Clearstream,
Luxembourg, as the case may be, to be debited with the Warrants being
exercised;
(iii)
irrevocably instruct Euroclear or Clearstream, Luxembourg, as the case
may be, to debit on or before the Settlement Date the Holder's account
with the Warrants being exercised;
272
Terms and Conditions of the W&C Instruments
(2)
(iv)
specify the number of the Holder's account at Euroclear or Clearstream,
Luxembourg, as the case may be, to be credited with the Cash Settlement
Amount (if any) for each Warrant or Unit, as the case may be, being
exercised and include an authorisation for Euroclear or Clearstream,
Luxembourg to disclose such number of the Holder's account to the
Principal Warrant Agent;
(v)
certify, inter alia, that the beneficial owner of each Warrant being
exercised is not a United States Person, such Warrants were not held on
behalf of a United States Person and no cash, securities or other property
has been or will be delivered within the United States or to, or for the
account or benefit of, a United States Person in connection with such
exercise and, where appropriate, undertake to provide such various forms
of certification in respect of selling restrictions under the securities,
commodities and other laws of the United States as set out in the
applicable Final Terms; and
(vi)
authorise the production of such certification in applicable administrative
or legal proceedings, all as provided in the English Law Agency
Agreement.
In the case of Physical Delivery Warrants, the Exercise Notice shall:
(i)
specify the ISIN of the Warrants and the number of Warrants being
exercised and, if Units are specified in the applicable Final Terms, the
number of Units being exercised;
(ii)
specify the number of the Holder's account at Euroclear or Clearstream,
Luxembourg, as the case may be, to be debited with the Warrants being
exercised;
(iii)
irrevocably instruct Euroclear or Clearstream, Luxembourg, as the case
may be, to debit on or before the Settlement Date the Holder's account
with the Warrants being exercised;
(iv)
irrevocably instruct Euroclear or Clearstream, Luxembourg, to debit on
the Actual Exercise Date a specified account of the Holder with
Euroclear or Clearstream, Luxembourg, as the case may be, with the
aggregate Exercise Prices in respect of such Warrants or Units, as the
case may be, (together with any other amounts payable);
(v)
include such details as are required by the applicable Final Terms for
delivery of the Entitlement which may include account details and/or the
name and address of any person(s) into whose name evidence of the
Entitlement is to be registered and/or any bank, broker or agent to whom
documents evidencing the Entitlement are to be delivered and specify the
name and the number of the Holder's account with Euroclear or
Clearstream, Luxembourg, as the case may be, to be credited with any
cash payable by the Issuer, either in respect of any cash amount
constituting the Entitlement or any dividends relating to the Entitlement
or as a result of the occurrence of a Settlement Disruption Event and the
Issuer electing to pay the Disruption Cash Settlement Price or the
occurrence of a Failure to Deliver due to Illiquidity and the Issuer
electing to pay the Failure to Deliver Settlement Price as applicable, or in
respect of any Partial Cash Settlement Amount;
(vi)
in the case of FX Linked Warrants only, specify the number of the
Holder's account at Euroclear or Clearstream, Luxembourg, as the case
may be, to be credited with the amount due upon exercise of the
Warrants;
273
Terms and Conditions of the W&C Instruments
(vii)
certify, inter alia, that the beneficial owner of each Warrant being
exercised is not a United States Person, such Warrants were not held on
behalf of a United States Person and no cash, securities or other property
has been or will be delivered within the United States or to, or for the
account or benefit of, a United States Person in connection with such
exercise and, where appropriate, undertake to provide such various forms
of certification in respect of selling restrictions under the securities,
commodities and other laws of the United States as set out in the
applicable Final Terms; and
(viii) authorise the production of such certification in any applicable
administrative or legal proceedings,
all as provided in the English Law Agency Agreement.
(3)
(b)
If Condition 5(C) applies, the information required to be provided in the
Exercise Notice will be different from that set out above. Copies of such
information required for this Exercise Notice may be obtained from Euroclear,
Clearstream, Luxembourg and the relevant Instrument Agents.
Warrants represented by a CBF Global Warrant
Subject as provided in Condition 24(E) (Exercise Procedure (Warrants) – Automatic
Exercise), Warrants represented by a CBF Global Warrant may only be exercised by
the delivery or the sending by facsimile (confirmed in writing) of a duly completed
exercise notice (an "Exercise Notice") in the form set out in the English Law Agency
Agreement (copies of which form may be obtained from the relevant Instrument
Agents) to the Frankfurt Warrant Agent with a copy to Merrill Lynch International and
the Principal Warrant Agent, in accordance with the provisions of Condition 23
(Exercise Rights (Warrants)) and this Condition. The relevant Holder must also
transfer to the Frankfurt Warrant Agent the Warrants to which such Exercise Notice
relates and failure to transfer such Warrants at or prior to the time such Exercise Notice
is delivered shall render such Exercise Notice null and void.
(1)
In the case of Cash Settled Warrants, the Exercise Notice shall:
(i)
specify the Series of the Warrants and the number of Warrants being
exercised and, if Units are specified in the applicable Final Terms, the
number of Units being exercised;
(ii)
specify the name and number of the Holder's account at a bank in the
principal financial centre of the relevant Settlement Currency to be
credited with the Cash Settlement Amount (if any) for each Warrant or
Unit, as the case may be, being exercised;
(iii)
include an undertaking to pay all Expenses;
(iv)
certify, inter alia, that the beneficial owner of each Warrant being
exercised is not a United States Person, such Warrants were not held on
behalf of a United States Person and no cash, securities or other property
has been or will be delivered within the United States or to, or for the
account or benefit of, a United States Person in connection with such
exercise and, where appropriate, undertake to provide such various forms
of certification in respect of selling restrictions under the securities,
commodities and other laws of the United States as set out in the
applicable Final Terms; and
(v)
authorise the production of such certification in applicable administrative
or legal proceedings,
all as provided in the English Law Agency Agreement.
274
Terms and Conditions of the W&C Instruments
(2)
In the case of Physical Delivery Warrants, the Exercise Notice shall:
(i)
specify the Series of the Warrants and the number of Warrants being
exercised and, if Units are specified in the applicable Final Terms, the
number of Units being exercised;
(ii)
include an undertaking to pay the aggregate Exercise Prices in respect of
such Warrants or Units, as the case may be, (together with any other
amounts payable);
(iii)
include an undertaking to pay all Expenses;
(iv)
include such details as are required by the applicable Final Terms for
delivery of the Entitlement which may include account details and/or the
name and address of any person(s) into whose name evidence of the
Entitlement is to be registered and/or any bank, broker or agent to whom
documents evidencing the Entitlement are to be delivered and specify the
name and the number of the Holder's account at a bank in the principal
financial centre of the relevant Settlement Currency to be credited with
any cash payable by the Issuer, either in respect of any cash amount
constituting the Entitlement or any dividends relating to the Entitlement
or as a result of the occurrence of a Settlement Disruption Event and the
Issuer electing to pay the Disruption Cash Settlement Price or the
occurrence of a Failure to Deliver due to Illiquidity and the Issuer
electing to pay the Failure to Deliver Settlement Price;
(v)
in the case of FX Linked Warrants only, specify the number of the
Holder's account at a bank in the principal financial centre of the relevant
Settlement Currency to be credited with the amount due upon exercise of
the Warrants;
(vi)
certify, inter alia, that the beneficial owner of each Warrant being
exercised is not a United States Person, such Warrants were not held on
behalf of a United States Person and no cash, securities or other property
has been or will be delivered within the United States or to, or for the
account or benefit of, a United States Person in connection with such
exercise and, where appropriate, undertake to provide such various forms
of certification in respect of selling restrictions under the securities,
commodities and other laws of the United States as set out in the
applicable Final Terms; and
(vii)
authorise the production of such certification in any applicable
administrative or legal proceedings,
all as provided in the English Law Agency Agreement.
(3)
(c)
If Condition 5(C) applies, the form of Exercise Notice required to be delivered
will be different from that set out above. Copies of such Exercise Notice may
be obtained from the relevant Instrument Agents.
Subject as provided in Condition 24(E) (Exercise Procedure (Warrants) – Automatic
Exercise), Swiss Warrants may only be exercised by the delivery or sending by fax or
authenticated SWIFT message (confirmed in writing) of a duly completed exercise
notice (the "Exercise Notice") in the form set out in the English Law Agency
Agreement (copies may be obtained from the Swiss Programme Agent) to the Swiss
Programme Agent with a copy to Merrill Lynch International in accordance with the
provisions of Condition 23 (Exercise Rights (Warrants)) and this Condition. In the
event that a Warrant is in definitive form the relevant Exercise Notice must be
delivered along with the relevant Swiss Definitive Registered Warrant in the manner
provided above to the Swiss Programme Agent with a copy to Merrill Lynch
International.
275
Terms and Conditions of the W&C Instruments
(1)
In the case of Cash Settled Warrants, the Exercise Notice shall:
(i)
specify the Swiss securities number (Valoren number) or ISIN of the
Warrants and the number of Warrants being exercised and, if Units are
specified in the applicable Final Terms, the number of Units being
exercised;
(ii)
specify the securities account at SIS to be debited with the Warrants
being exercised;
(iii)
except in case of Swiss Definitive Registered Warrants, irrevocably
instruct the Issuer to instruct SIS to debit on or before the Settlement
Date the securities account with the Warrants being exercised;
(iv)
specify the cash account to be credited with the Cash Settlement Amount
(if any);
(v)
include such details as are required by the applicable Final Terms and an
undertaking to pay all taxes, duties and/or expenses, including any
applicable depositary charges, transaction or exercise charges, stamp
duty, stamp duty reserve tax, issue, registration, securities transfer and/or
other taxes or duties arising in connection with the exercise of such
Warrants and, except in the case of Swiss Definitive Registered
Warrants, an authority to SIS to debit a specified account at SIS in
respect thereof and to pay such expenses;
(vi)
certify, inter alia, that the beneficial owner of each Warrant being
exercised is not a United States Person, such Warrants were not held on
behalf of a United States Person and no cash, securities or other property
has been or will be delivered within the United States or to, or for the
account or benefit of, a United States Person in connection with such
exercise and, where appropriate, undertake to provide such various forms
of certification in respect of selling restrictions under the securities,
commodities and other laws of the United States as set out in the
applicable Final Terms; and
(vii)
authorise the production of such certification in applicable administrative
or legal proceedings,
all as provided in the English Law Agency Agreement.
(2)
In the case of Physical Delivery Warrants, the Exercise Notice shall:
(i)
specify the Swiss securities number (Valoren number) or ISIN of the
Warrants and the number of Warrants being exercised and, if Units are
specified in the applicable Final Terms, the number of Units being
exercised;
(ii)
specify the securities account at SIS to be debited with the Warrants
being exercised;
(iii)
except in case of Swiss Definitive Registered Warrants irrevocably
instruct the Issuer to instruct SIS to debit on or before the Settlement
Date the securities account with the Warrants being exercised;
(iv)
irrevocably instruct the Issuer to instruct SIS to debit on the Actual
Exercise Date a specified cash account or securities account at SIS with
the aggregate Exercise Prices or Entitlement in respect of such Warrant,
(together with any other amounts payable);
(v)
include such details as are required by the applicable Final Terms for
delivery of the Entitlement or Exercise Price which may include account
276
Terms and Conditions of the W&C Instruments
details and/or the name and address of any person(s) into whose name
evidence of the Entitlement is to be registered and/or any bank, broker or
agent to whom documents evidencing the Entitlement are to be delivered
and specify the name and the number of the cash account at SIS to be
credited with any cash payable by the Issuer, either in respect of any cash
amount constituting the Entitlement or any dividends relating to the
Entitlement or as a result of the occurrence of a Settlement Disruption
Event and the Issuer electing to pay the Disruption Cash Settlement
Price;
(vi)
include an undertaking to pay all taxes, duties and/or expenses, including
any applicable depository charges, transaction or exercise charges, stamp
duty, stamp duty reserve tax, issue, registration, securities transfer and/or
other taxes or duties arising from the exercise of such Warrants and/or
the delivery or transfer of the Entitlement pursuant to the terms of such
Warrants;
(vii)
certify, inter alia, that the beneficial owner of each Warrant being
exercised is not a United States Person, such Warrants were not held on
behalf of a United States Person and no cash, securities or other property
has been or will be delivered within the United States or to, or for the
account or benefit of, a United States Person in connection with such
exercise and, where appropriate, undertake to provide such various forms
of certification in respect of selling restrictions under the securities,
commodities and other laws of the United States as set out in the
applicable Final Terms; and
(viii) authorise the production of such certification in any applicable
administrative or legal proceedings,
all as provided in the English Law Agency Agreement.
(3)
(d)
If Condition 5(C) applies, the form of Exercise Notice required to be delivered
will be different from that set out above. Copies of such Exercise Notice may
be obtained from the Swiss Programme Agent.
Irrevocable Election
Delivery of an Exercise Notice shall constitute an irrevocable election by the relevant
Holder to exercise the Warrants specified. After the delivery of such Exercise Notice,
such exercising Holder may not transfer such Warrants.
(B)
Verification of the Holder
In the case of Warrants represented by a Euroclear/CBL Global Registered Warrant, upon
receipt of a valid Exercise Notice, Euroclear or Clearstream, Luxembourg, as the case may be,
shall verify that the person exercising the Warrants is the holder thereof according to the
books of Euroclear or Clearstream, Luxembourg, as the case may be. Subject thereto,
Euroclear or Clearstream, Luxembourg, as the case may be, will confirm to the Principal
Warrant Agent and, in the case of Warrants represented by a Euroclear/CBL Global
Registered Warrant, the Registrar, the ISIN and the amount of Warrants being exercised, the
account number of the exercising Holder, a confirmation of the exercising Holder's
certification and the account details, if applicable, for the payment of the Cash Settlement
Amount or, as the case may be, the details for the delivery of the Entitlement in respect of
each Warrant or Unit, as the case may be, being exercised. Upon receipt of such confirmation,
the Principal Warrant Agent will inform the Issuer and, in the case of Warrants represented by
a Euroclear/CBL Global Registered Warrant, the Registrar. Euroclear or Clearstream,
Luxembourg, as the case may be, will on or before the Settlement Date debit the account of
the relevant Holder with the Warrants being exercised. If the Warrants are American Style
Warrants, upon exercise of less than all the Warrants constituted by the Euroclear/CBL Global
Registered Warrant, the Common Depositary will, on the instructions of, and on behalf of, the
277
Terms and Conditions of the W&C Instruments
Principal Warrant Agent, note such exercise on the Schedule to such Euroclear/CBL Global
Registered Warrant and the number of Warrants so constituted shall be reduced by the
cancellation pro tanto of the Warrants so exercised.
In the case of a CBF Global Warrant, upon receipt of an Exercise Notice and the relevant
Warrants, the Frankfurt Warrant Agent shall verify that the person delivering the Exercise
Notice, prior to such transfer was the holder according to the records of Clearstream,
Frankfurt. Subject thereto, the Frankfurt Warrant Agent shall notify the Issuer of the Series
number and the number of Warrants being exercised and the account details, if applicable, for
the payment of the Cash Settlement Amount or, as the case may be, the details for the delivery
of the Entitlement in respect of each Warrant or Unit, as the case may be, being exercised.
Upon receipt of such confirmation, the Frankfurt Warrant Agent will inform the Issuer thereof.
If the Warrants are American Style Warrants, upon exercise of less than all the Warrants
constituted by the CBF Global Warrant, it will, on the instructions of, and on behalf of, the
Principal Warrant Agent, note such exercise on the Schedule to such CBF Global Warrant and
the number of Warrants so constituted shall be reduced by the cancellation pro tanto of the
Warrants so exercised.
In the case of a Swiss Warrant, upon receipt of an Exercise Notice the Swiss Programme
Agent shall verify that the person delivering the Exercise Notice was the holder, in the case of
Swiss Warrants in uncertificated form, according to the records of SIS or, in the case of Swiss
Definitive Registered Warrants, according to the register. Subject thereto, the Swiss
Programme Agent shall notify the Issuer of the ISIN and the number of Warrants being
exercised and the account details, (if applicable) for the payment of the Cash Settlement
Amount or, as the case may be, the details for the delivery of the Entitlement in respect of
each Warrant or Unit, as the case may be, being exercised. Upon receipt of such Exercise
Notice, the Swiss Programme Agent will inform the Issuer thereof. The Swiss Programme
Agent may assume that the person delivering the Exercise Notice is duly representing the
Holder of the Warrants being exercised.
(C)
Settlement
(a)
Cash Settled Warrants
In the case of Warrants represented by a Global Warrant, the Issuer or, failing the
Issuer and, with respect to Warrants other than Secured W&C Instruments, the
Guarantor, through the relevant Instrument Agent, shall on the Settlement Date pay or
cause to be paid the Cash Settlement Amount (if any) for each duly exercised Warrant
or Unit, as the case may be, to the Holder's account specified in the relevant Exercise
Notice for value on the Settlement Date less any Expenses not already paid.
In the case of Swedish Warrants, payment of the Cash Settlement Amount (if any) less
Expenses will be made to the persons registered as Holders in the Swedish Register (A)
on the fifth business day (where the Swedish Warrants have been registered by the
Swedish CSD (i) on the basis of notional amount or (ii) in Euro) or, as the case may be,
(B) on the fourth business day (where the Swedish Warrants have been registered by
the Swedish CSD on the basis of the number of W&C Instruments) (in each case as
such business day is defined by the then applicable Swedish CSD Rules) before the due
date for such payment, or, in each case, (C) on such other business day falling closer to
the due date for payment as then may be stipulated in the Swedish CSD Rules (such
date being the "Record Date" for Swedish Warrants). The Swedish Instrument Agent
will pay the Cash Settlement Amount through the Swedish CSD to each Holder
appearing in the Swedish Register on the Record Date on the Settlement Date.
In the case of Finnish Warrants, payment of the Cash Settlement Amount (if any) less
Expenses will be made to the persons registered as Holders in the Finnish Register on
the third Business Day before the due date for such payment, or on such Business Day
falling closer to the due date for payment as may be stipulated in the Euroclear Finland
Rules (such date being the "Record Date" for Finnish Warrants). The Finnish
Instrument Agent will on the Settlement Date pay the Cash Settlement Amount to the
278
Terms and Conditions of the W&C Instruments
account operators of each Holder appearing in the Finnish Register on the Record Date
in accordance with the Euroclear Finland Rules.
In the case of Swiss Definitive Registered Warrants, payment of the Cash Settlement
Amount (if any) less Expenses will be made to the persons registered as Holders in the
register on the fifteenth day before the due date for such payment (such date being the
"Record Date" for Swiss Definitive Registered Warrants). The Swiss Programme
Agent will pay the Cash Settlement Amount to the Holder's account specified in the
relevant Exercise Notice. In order to receive the Cash Settlement Amount less any
Expense the Holder must deliver the relevant Swiss Individual Warrant Certificate to
the Swiss Programme Agent.
Payments will be subject in all cases to any fiscal or other laws and regulations
applicable thereto in the place of payment.
(b)
Physical Delivery Warrants
Subject to payment of the aggregate Exercise Prices, if any, and payment of any
Expenses with regard to the relevant Warrants or Units, as the case may be, the Issuer
shall on the Settlement Date deliver, or procure the delivery of, the Entitlement, or, in
the case of Credit Linked Warrants, Deliver, or procure the Delivery of the Deliverable
Obligations comprising the Entitlement, for each duly exercised Warrant or Unit, as the
case may be, pursuant to the details specified in the Exercise Notice subject as provided
in Condition 23(C).
Unless otherwise specified in the applicable Final Terms, the Entitlement will be
evidenced by the delivery of the Entitlement to the securities account with such
clearing system (the "Physical Delivery Clearing System") or in such other manner as
shall have been specified by the Holder in the relevant Exercise Note. The Issuer,
Guarantor and Calculation Agent shall be under no obligation to register or procure the
registration of a Holder in the register of members of the Share Company.
Unless otherwise specified in the applicable Final Terms, the Entitlement will be
delivered to such securities account with such Physical Delivery Clearing System or in
such other manner as shall have been specified by the Holder in the relevant Exercise
Notice, provided that, if, in the opinion of the Issuer, delivery of the Entitlement to the
Holder in the manner specified by the Holder or through the Physical Delivery Clearing
System specified by the Holder is not commercially reasonable, the Issuer shall deliver
the Entitlement to the Holder through a clearing system which the Issuer determines to
be commercially reasonable for such delivery and references to "Physical Delivery
Clearing System" shall be deemed to be references to such clearing system selected by
the Issuer. For the avoidance of doubt, the Issuer or the Guarantor will be fully
discharged of any and all obligations with respect to delivery of the Entitlement by
making delivery in the manner specified by the Holder in the relevant Exercise Notice.
(D)
Determinations
Any determination as to whether an Exercise Notice is duly completed and in proper form
shall, in the case of Warrants represented by a Global Warrant, be made by the Principal
Warrant Agent or, in the case of Warrants represented by a Euroclear/CBL Global Registered
Warrant, Euroclear or Clearstream, Luxembourg, as the case may be, in consultation with the
Principal Warrant Agent or, in the case of Swiss Warrants, the Swiss Programme Agent and
shall be conclusive and binding on the Issuer, the relevant Instrument Agents and the relevant
Holder. Subject as set out below, any Exercise Notice so determined to be incomplete or not
in proper form, or which is not sent to Merrill Lynch International by the Principal Warrant
Agent, immediately after being delivered or sent to Euroclear and/or Clearstream,
Luxembourg, the Frankfurt Warrant Agent or the Swiss Programme Agent, as the case may
be, shall be null and void.
If such Exercise Notice is subsequently corrected to the satisfaction of the Principal Warrant
Agent or, in the case of Warrants represented by a Euroclear/CBL Global Registered Warrant,
279
Terms and Conditions of the W&C Instruments
Euroclear or Clearstream, Luxembourg in consultation with the Principal Warrant Agent or, in
the case of Swiss Warrants, the Swiss Programme Agent, it shall be deemed to be a new
Exercise Notice submitted at the time such correction was delivered to Euroclear or
Clearstream, Luxembourg, the Frankfurt Warrant Agent or the Swiss Programme Agent, as
the case may be, with a copy to the Principal Warrant Agent, in the case of Warrants
represented by a Euroclear/CBL Global Registered Warrant, and Merrill Lynch International.
If Automatic Exercise is not specified in the applicable Final Terms, any Warrants with
respect to which the Exercise Notice has not been duly completed and delivered in the
manner set out above by the cut-off time specified in Condition 23(A)(a), in the case of
American Style Warrants, or Condition 23(A)(b), in the case of European Style
Warrants, shall become void.
Euroclear and/or Clearstream, Luxembourg, the Frankfurt Warrant Agent or the Swiss
Programme Agent, as the case may be, shall use its best efforts promptly to notify the Holder
submitting an Exercise Notice if, in consultation with the Principal Warrant Agent, it has
determined that such Exercise Notice is incomplete or not in proper form. In the absence of
negligence or wilful misconduct on its part, none of the Issuer, the Guarantor, the Instrument
Agents, Euroclear and/or Clearstream, Luxembourg and Clearstream, Frankfurt shall be liable
to any person with respect to any action taken or omitted to be taken by it in connection with
such determination or the notification of such determination to a Holder.
(E)
Automatic Exercise
This paragraph only applies to Warrants which are not Swedish Warrants or Finnish Warrants
and (i) if Automatic Exercise is specified in the applicable Final Terms and the Warrants are
automatically exercised as provided in Condition 23(A)(a), Condition 23(A)(b) or Condition
23(A)(c) or (ii) the Warrants are automatically exercised pursuant to Condition 23(D).
In order to receive the Cash Settlement Amount, if the Warrants are Cash Settled Warrants, or
the Entitlement, if the Warrants are Physical Delivery Warrants, in respect of a Warrant, or if
Units are specified in the applicable Final Terms, a Unit, as the case may be, the relevant
Holder must: (A) in the case of Warrants represented by a Euroclear/CBL Global Registered
Warrant send a duly completed Exercise Notice to Euroclear or Clearstream, Luxembourg, as
the case may be on any Business Day until not later than 10.00 a.m., Brussels or Luxembourg
time (as appropriate), on the day (the "Cut-Off Date") falling 180 calendar days after (i) the
Expiration Date, in the case of American Style Warrants, (ii) the Actual Exercise Date, in the
case of European Style Warrants other than Credit Linked Warrants and (iii) the Credit CutOff Date, in the case of Credit Linked Warrants or (B) in the case of Warrants represented by
a CBF Global Warrant, deliver a duly completed Exercise Notice to the Frankfurt Warrant
Agent with a copy to Merrill Lynch International, the Principal Warrant Agent on any
Business Day until not later than 10.00 a.m., Frankfurt time on the Cut-Off Date (as defined
above) or (C) in the case of Swiss Warrants, deliver a duly completed Exercise Notice to the
Swiss Programme Agent with a copy to Merrill Lynch International on any Business Day until
no later than 10.00 a.m., Zurich time on the Cut-Off Date (as defined above). The Exercise
Notice shall include the applicable information set out in the Exercise Notice referred to in
Condition 24(A)(a), Condition 24(A)(b), Condition 24(A)(c), Condition 24(A)(d) or Condition
24(A)(e), as applicable. The Business Day during the period from the Expiration Date or the
Actual Exercise Date, as the case may be, until the Cut-Off Date on which an Exercise Notice
is delivered to Euroclear, Clearstream, Luxembourg, the Frankfurt Warrant Agent or the Swiss
Programme Agent, as the case may be, and a copy thereof delivered to Merrill Lynch
International by the Principal Warrant Agent, is referred to in this Condition as the "Exercise
Notice Delivery Date", provided that if the Exercise Notice is delivered to Euroclear or
Clearstream, Luxembourg, the Frankfurt Warrant Agent or the Swiss Programme Agent, as
the case may be, and a copy thereof delivered to the Principal Warrant Agent at or after 10.00
a.m., Brussels, Luxembourg, Frankfurt Zurich or London time (as appropriate) on a Business
Day, the Exercise Notice Delivery Date shall be deemed to be the next succeeding Business
Day.
Subject to the relevant Holder performing its obligations in respect of the relevant Warrant or
Unit, as the case may be, in accordance with these Terms and Conditions, the Settlement Date
280
Terms and Conditions of the W&C Instruments
for such Warrants or Units, as the case may be, shall be (i) in the case of Cash Settled
Warrants, the fourth Business Day following the Exercise Notice Delivery Date and (ii) in the
case of Physical Delivery Warrants and subject to Conditions 5(B) and 5(C), the fourth
Settlement Business Day following the Exercise Notice Delivery Date. In the event that a
Holder does not so deliver an Exercise Notice in accordance with this Condition prior to 10.00
a.m. Brussels, Luxembourg, Frankfurt, Zurich or London time (as appropriate) on the Cut-Off
Date, such Warrants shall expire worthless, and the Issuer's obligations in respect of such
Warrants and, with respect to Warrants other than Secured W&C Instruments, the Guarantor's
obligations in respect of the relevant Guarantee shall be discharged and no further liability in
respect thereof shall attach to the Issuer or (if applicable) the Guarantor.
(F)
Minimum and Maximum Number of Warrants Exercisable
(a)
American Style Warrants
This paragraph (a) applies only to American Style Warrants:
(b)
(i)
The number of Warrants exercisable by any Holder on any Actual Exercise
Date, as determined by the Issuer, must not be less than the Minimum Exercise
Number specified in the applicable Final Terms and, if specified in the
applicable Final Terms, if a number greater than the Minimum Exercise
Number, must be an integral multiple of the number specified in the applicable
Final Terms. Any Exercise Notice which purports to exercise Warrants in
breach of this provision shall be void and of no effect.
(ii)
If the Issuer determines that the number of Warrants being exercised on any
Actual Exercise Date by any Holder or a group of Holders (whether or not
acting in concert) exceeds the Maximum Exercise Number (a number equal to
the Maximum Exercise Number being the "Quota"), the Issuer may deem the
Actual Exercise Date for the first Quota of such Warrants, selected at the
discretion of the Issuer, to be such day and the Actual Exercise Date for each
additional Quota of such Warrants (and any remaining number thereof) to be
each of the succeeding Exercise Business Days until all such Warrants have
been attributed with an Actual Exercise Date, provided, however, that the
deemed Actual Exercise Date for any such Warrants which would thereby fall
after the Expiration Date shall fall on the Expiration Date. In any case where
more than the Quota of Warrants are exercised on the same day by Holder(s),
the order of settlement in respect of such Warrants shall be at the sole discretion
of the Issuer.
European Style Warrants
This paragraph (b) applies only to European Style Warrants:
The number of Warrants exercisable by any Holder on any Exercise Date as
determined by the Issuer must not be less than the Minimum Exercise Number
specified in the applicable Final Terms and, if specified in the applicable Final Terms,
if a number greater than the Minimum Exercise Number, must be an integral multiple
of the number specified in the applicable Final Terms. Any Exercise Notice which
purports to exercise Warrants in breach of this provision shall be void and be of no
effect.
25.
Additional Amounts
(A)
Calculation of Additional Amounts
If so specified in the applicable Final Terms, each Warrant pays additional amounts from and
including the Issue Date at the Additional Amount Rate payable in arrear on each Additional
Amount Payment Date.
281
Terms and Conditions of the W&C Instruments
The additional amount payable in respect of each Warrant on each Additional Amount
Payment Date will amount to the Additional Amount for the Additional Amount Period
ending on (but excluding) such Additional Amount Payment Date.
If an additional amount is required to be calculated for a period ending other than on (but
excluding) an Additional Amount Payment Date, it will be calculated on the basis of the
number of calendar days from and including the most recent Additional Amount Payment
Date (or, if none, the Issue Date) to but excluding the relevant payment date and the
Additional Amount Rate Day Count Fraction.
(B)
Accrual of Additional Amounts
Each Warrant will cease to accrue additional amounts from and including the Additional
Amount Cut-Off Date or, if earlier, the date on which the Warrants are cancelled (the
"Cancellation Date"), if applicable, in accordance with these Terms and Conditions unless
payment of the amount and/or delivery of any Entitlement due on the Settlement Date or
Cancellation Date, as the case may be, is improperly withheld or refused or unless default is
otherwise made in respect of the payment or delivery in which case additional amount(s) shall
accrue from the date such amount or delivery of such Entitlement was due until such amount
or delivery of such Entitlement is paid or delivered, as the case may be provided that:
(a)
if "Accrual of Additional Amounts upon Credit Event" is specified as not applicable in
the applicable Final Terms, each Warrant shall cease to accrue additional amount from
the Additional Amount Payment Date or, if applicable, the Additional Amount Cut-Off
Date, immediately preceding the Event Determination Date, or if the Event
Determination Date is an Additional Amount Payment Date or, if applicable, the
Additional Amount Cut-Off Date, such date (or, in the case of the Event Determination
Date falling on or after the Actual Exercise Date (which is an Additional Amount
Payment Date), the Additional Amount Payment Date immediately preceding the
Actual Exercise Date or, if applicable, the Additional Amount Cut-Off Date
corresponding to such Additional Amount Payment Date) or, if the Event
Determination Date falls prior to the first Additional Amount Payment Date or, if
applicable, the Additional Amount Cut-Off Date, no additional amount shall accrue on
the Warrants; or
(b)
if "Accrual of Additional Amounts upon Credit Event" is specified as being applicable
in the applicable Final Terms, each Warrant shall cease to accrue additional amounts
from the Event Determination Date.
For the avoidance of doubt, no additional amount on the Warrants shall accrue beyond the
Exercise Date in the event that delivery of any Entitlement is postponed due to the occurrence
of a Settlement Disruption Event.
(C)
Payment of Additional Amounts
Except in the case of Swedish Warrants and Swiss Warrants, where the Warrants pay
additional amounts as specified in the applicable Final Terms, subject as provided below, the
Issuer or failing the Issuer, the Guarantor shall pay or cause to be paid the Additional Amount
for each Warrant in respect of each Additional Amount Payment Date by credit or transfer to
the Holder's account with the relevant Clearing System for value on the relevant Additional
Amount Payment Date, such payment to be made in accordance with the rules of the relevant
Clearing System.
Except in the case of Swedish Warrants and Swiss Warrants, the Issuer or the Guarantor, as
applicable, will be discharged by payment to, or to the order of, the relevant Clearing System
in respect of the amount so paid. Each of the persons shown in the records of the relevant
Clearing System as the holder of a particular amount of the Warrants must look solely to such
Clearing System for his share of each such payment so made to, or to the order of, the relevant
Clearing System.
In the case of Swedish Warrants, where the Warrants pay Additional Amounts as specified in
the applicable Final Terms, subject as provided below, payment of the Additional Amount for
282
Terms and Conditions of the W&C Instruments
each Swedish Warrant will be made to the persons registered as Holders in the Swedish
Register on the fifth Business Day prior to the relevant Additional Amount Payment Date (the
"Additional Amount Payment Record Date"). The Swedish Instrument Agent will pay the
Additional Amount through the Swedish CSD to each Holder appearing in the Swedish
Register on the Additional Amount Payment Record Date on the relevant Additional Amount
Payment Date.
In the case of Swiss Warrants, where the Warrants pay Additional Amounts as specified in the
applicable Final Terms, the Issuer or failing the Issuer, the Guarantor, through the Swiss
Programme Agent, shall pay or cause to be paid the Additional Amount (if any) for each
Warrant in respect of each Additional Amount Payment Date to the Holder for value on the
relevant Additional Amount Payment Date, less any Expenses not already paid. In the case of
Swiss Definitive Registered Warrants, payment of the Additional Amount for each Swiss
Warrant will be made to the persons registered as Holders in the register on the fifteenth
calendar day before to the relevant Additional Amount Payment Date (the "Additional
Amount Payment Record Date"). The Swiss Programme Agent will pay the Additional
Amount by credit or transfer to an account specified by the Holder or, at the option of the
Holder, by cheque be mailed to the address shown as the address of the Holder in the register
on the Additional Amount Payment Record Date on the relevant Additional Amount Payment
Date. In order to receive the Additional Amount less any Expense the Holder must deliver the
relevant Swiss Individual Warrant Certificate to the Swiss Programme Agent.
Payments will be subject in all cases to any fiscal or other laws and regulations applicable
thereto in the place of payment.
(D)
Definitions
"30/360 (Floating )" or "30/360" or "360/360" or "Bond Basis" means the number of days in
the Additional Amount Period divided by 360, calculated on a formula basis as follows:
Day Count Fraction =
360x Y2  Y1   30x M 2  M 1   D 2 D1 
360
where:
"Y1" is the year, expressed as a number, in which the first day of the Additional
Amount Period falls;
"Y2" is the year, expressed as a number, in which the day immediately following the
last day of the Additional Amount Period falls;
"M1" is the calendar month, expressed as a number, in which the first day of the
Additional Amount Period falls;
"M2" is the calendar month, expressed as a number, in which the day immediately
following the last day of the Additional Amount Period falls;
"D1" is the first calendar day, expressed as a number, of the Additional Amount Period,
unless such number would be 31, in which case D1 will be 30; and
"D2" is the calendar day, expressed as a number, immediately following the last day
included in the Additional Amount Period, unless such number would be 31 and D1 is
greater than 29, in which case D2 will be 30.
"30E/360" or "Eurobond Basis" means the number of days in the Additional Amount Period
divided by 360, calculated on a formula basis as follows:
Day Count Fraction =
360x Y2  Y1   30x M 2  M 1   D 2 D1 
360
where:
283
Terms and Conditions of the W&C Instruments
"Y1" is the year, expressed as a number, in which the first day of the Additional
Amount Period falls;
"Y2" is the year, expressed as a number, in which the day immediately following the
last day of the Additional Amount Period falls;
"M1" is the calendar month, expressed as a number, in which the first day of the
Additional Amount Period falls;
"M2" is the calendar month, expressed as a number, in which the day immediately
following the last day of the Additional Amount Period falls;
"D1" is the first calendar day, expressed as a number, of the Additional Amount Period,
unless such number would be 31, in which case D1 will be 30; and
"D2" is the calendar day, expressed as a number, immediately following the last day
included in the Additional Amount Period, unless such number would be 31, in which
case D2 will be 30.
"30E/360 (ISDA)" means the number of days in the Additional Amount Period divided by
360, calculated on a formula basis as follows:
Day Count Fraction =
360x Y2  Y1   30x M 2  M 1   D 2 D1 
360
where:
"Y1" is the year, expressed as a number, in which the first day of the Additional
Amount Period falls;
"Y2" is the year, expressed as a number, in which the day immediately following the
last day of the Additional Amount Period falls;
"M1" is the calendar month, expressed as a number, in which the first day of the
Additional Amount Period falls;
"M2" is the calendar month, expressed as a number, in which the day immediately
following the last day of the Additional Amount Period falls;
"D1" is the first calendar day, expressed as a number, of the Additional Amount Period,
unless (a) that day is the last day of February or (b) such number would be 31, in which
case D1 will be 30; and
"D2" is the calendar day, expressed as a number, immediately following the last day
included in the Additional Amount Period, unless (a) that day is the last day of
February but not the Exercise Date or (b) such number would be 31, in which case D2
will be 30.
"Actual/360" means the actual number of days in the Additional Amount Period divided by
360.
"Actual/Actual (ISDA)" means the actual number of days in the Additional Amount Period
divided by 365 (or, if any portion of that Additional Amount Period falls in a leap year, the
sum of (a) the actual number of days in that portion of the Additional Amount Period falling in
a leap year divided by 366; and (b) the actual number of days in that portion of the Additional
Amount Period falling in a non-leap year divided by 365).
"Actual/365 (Fixed)" means the actual number of days in the Additional Amount Period
divided by 365.
"Additional Amount" means, in respect of each Warrant and each Additional Amount Period,
an amount calculated by the Calculation Agent as follows:
284
Terms and Conditions of the W&C Instruments
Notional Amount per Warrant x Additional Amount Rate x Additional Amount Rate Day
Count Fraction.
"Additional Amount Period" means the period commencing on (and including) the Issue
Date to (but excluding) the first Additional Amount Payment Date (or if earlier the Additional
Amount Cut off Date) and each period commencing on (and including) an Additional Amount
Payment Date to (but excluding) the next following Additional Amount Payment Date (or if
earlier the Additional Amount Cut off Date).
26.
Terms applicable to Certificates only
Conditions 27 (Definitions (Certificates)), 28 (Form of Certificates), 29 (Type and Title
(Certificates)), 30 (Exercise Rights (Certificates)), 31 (Collection Notices and Settlement
(Certificates)) and 32 (Additional Amounts) apply to Certificates only.
27.
Definitions (Certificates)
For the purposes of the Certificates:
"Global W&C Instrument" means, as the context so requires, a Global Certificate.
28.
Form of Certificates
If the Certificates are to be issued into and transferred through accounts at Euroclear and
Clearstream, Luxembourg ("Euroclear/CBL Certificates"), such Series of Euroclear/CBL
Certificates will on issue be constituted by a global certificate in registered form (the
"Euroclear/CBL Global Registered Certificate"), which will be deposited with a depositary
common to Euroclear and Clearstream, Luxembourg and registered in the name of the
nominee of such depositary.
If the Certificates are to be issued into and transferred through accounts at Clearstream,
Frankfurt ("CBF Certificates"), such Series of CBF Certificates will on issue be constituted
by a permanent global certificate in bearer form (the "CBF Global Certificate") provided,
however, that the CBF Global Certificates will be treated as in registered form for United
States federal income tax purposes. The CBF Global Certificate will be delivered on or prior
to the Issue Date of the relevant Series of CBF Global Certificates to Clearstream, Frankfurt.
The Euroclear/CBL Global Registered Certificates and the CBF Global Certificates are
referred to herein as "Global Certificates" and each a "Global Certificate".
Euroclear/CBL Global Registered Certificates will be exchangeable in whole, but not in part,
for individual certificates:
(a)
on the expiry of such period of notice as may be specified in the applicable Final
Terms; or
(b)
at any time, if so specified in the applicable Final Terms; or
(c)
if the Issuer has been notified that Euroclear or Clearstream, Luxembourg or any other
relevant clearing system is closed for business for a continuous period of 14 calendar
days (other than by reason of holiday, statutory or otherwise) or has announced an
intention permanently to cease business or has in fact done so and no alternative
clearing system approved by the Holders of the Certificates is available.
Whenever the Euroclear/CBL Global Registered Certificate is to be exchanged for individual
certificates, the Issuer shall procure that individual certificates will be issued in number or
nominal amount equal to the number or nominal amount of the Euroclear/CBL Global
Registered Certificates then outstanding within five Business Days of the delivery, by or on
behalf of the registered holder of the Euroclear/CBL Global Registered Certificate to the
Principal Certificate Agent of such information as is required to complete and deliver such
individual warrant certificates (including, without limitation, the names and addresses of the
persons in whose names the individual warrant certificates are to be registered and the number
285
Terms and Conditions of the W&C Instruments
or nominal amount of each such person's holding) against the surrender of the Euroclear/CBL
Global Registered Certificate at the specified office of the Principal Certificate Agent.
Such exchange will be effected in accordance with the provisions of the English Law Agency
Agreement and the regulations concerning the transfer and registration of Certificates
scheduled thereto and, in particular, shall be effected without charge to any holder, but against
such indemnity as the Principal Certificate Agent may require in respect of any tax or other
duty of whatsoever nature which may be levied or imposed in connection with such exchange.
If:
(a)
individual certificates have not been delivered by 5.00 p.m. (London time) on the
thirtieth calendar day after they are due to be issued and delivered in accordance with
the terms of the Euroclear/CBL Global Registered Certificate; or
(b)
the date for final settlement of the Certificates has occurred and payment in full of all
amounts due has not been made to the Holder of the Euroclear/CBL Global Registered
Certificate on the due date for payment in accordance with the terms of the
Euroclear/CBL Global Registered Certificate,
then the Euroclear/CBL Global Registered Certificate (including the obligation to deliver
individual certificates) will become void at 5.00 p.m. (London time) on such thirtieth calendar
day (in the case of (a) above) or at 5.00 p.m. (London time) on such due date (in the case of
(b) above) and the holder of the Euroclear/CBL Global Registered Certificate will have no
further rights thereunder (but without prejudice to the rights which the holder of the
Euroclear/CBL Global Registered Certificate or others may have under the W&C Instruments
Deed of Covenant). Under the W&C Instruments Deed of Covenant, each Holder is entitled
to exercise or enforce in respect of each Certificate held by him, the rights and obligations
attaching to the relevant Certificate as set out in, and subject to, the W&C Instruments Deed of
Covenant, the Conditions and the applicable Final Terms issued in respect of such Certificates.
If the Certificates are to be issued into and cleared through the Swedish CSD ("Swedish
Certificates"), such Series of Swedish Certificates will be issued in dematerialised and
uncertificated book-entry form in accordance with the Swedish Financial Instruments
Accounts Act (in Swedish: lag (1998: 1479) om kontoföring av finansiella instrument).
If the Certificates are to be issued into and cleared through Euroclear Finland ("Finnish
Certificates"), such Series of Finnish Certificates will be issued in dematerialised and
uncertificated book-entry form in accordance with the Finnish Act on the Book-Entry System
and Clearing Operations (in Finnish: laki arvo-osuusjärjestelmästä ja selvitystoiminnasta
(749/2012)), the Finnish Act on Book-Entry Accounts (in Finnish: laki arvo-osuustileistä
(827/1991)) and the Euroclear Finland Rules.
If the Certificates are to be listed on SIX Swiss Exchange and/or issued and transferred
through accounts at SIS, including such Certificates that are Swiss COSIs ("Swiss
Certificates"), such Swiss Certificates will on issue be constituted as uncertificated securities
which will be entered into the main register (Hauptregister) of SIS on the Issue Date.
As a matter of Swiss law, once Swiss Certificates issued in the form of uncertificated
securities are entered into the main register (Hauptregister) of SIS and are entered into the
accounts of one or more participants of SIS, the respective Swiss Certificates will constitute
Intermediated Securities.
No Holder of Swiss Certificates will at any time have the right to effect or demand the
conversion of the uncertificated securities representing such Swiss Certificates into, or the
delivery of, Certificates in definitive form. However, Swiss Certificates in uncertificated form
will be exchangeable (free of charge), in whole but not in part, for Swiss Individual
Certificates representing definitive Certificates in registered for