Antidilution Adjustments
The initial level, downside threshold, coupon barrier, closing levels, final level and/or any other relevant term, as applicable, are each subject to adjustments by the calculation agent as a result of the antidilution events described in this section. The adjustments described below do not cover all events that could affect the value of the Notes. We describe the risks relating to dilution above under “Key Risks — Risks Relating to Hedging Activities and Conflicts of Interest — Following certain events, the calculation agent can make adjustments to the underlying asset and the terms of the Notes that may adversely affect the market value of, and return on, the Notes”.
How Adjustments Will be Made
If one of the events described below occurs with respect to an underlying asset and the calculation agent determines that the event has a diluting or concentrative effect on the theoretical value of such underlying asset, the calculation agent will calculate such corresponding adjustment or series of adjustments to the initial level, downside threshold, coupon barrier, closing levels, final level and/or any other relevant term, as applicable, of the affected underlying asset, as the calculation agent determines appropriate to account for that diluting or concentrative effect. For example, if an adjustment is required because of a two-for-one stock split, then the initial level, downside threshold, coupon barrier and/or any other relevant term, as applicable, will each be halved. The calculation agent will also determine the effective date(s) of any adjustment or series of adjustments it chooses to make and the replacement of an underlying asset, if applicable, in the event of a consolidation or merger of the applicable underlying asset issuer with another entity.
If more than one event requiring an adjustment occurs, the calculation agent will make an adjustment for each event in the order in which the events occur and on a cumulative basis. Thus, the calculation agent will adjust the initial level, downside threshold, coupon barrier, closing levels, final level and/or any other relevant term for the first event, as applicable, then adjust those same terms, as applicable, for the second event, and so on for any subsequent events.
If an event requiring antidilution adjustments occurs, notwithstanding the description of the specific adjustments to be made, the calculation agent may make adjustments or a series of adjustments that differ from, or that are in addition to, those described in this document with a view to offsetting, to the extent practical, any change in your economic position as a holder of the Notes that results solely from that event to achieve an equitable result. The calculation agent may modify any terms as necessary to ensure an equitable result. The terms that may be so modified by the calculation agent include, but are not limited to, the initial level, downside threshold, coupon barrier, closing levels, final level and/or any other relevant term, as applicable, of the underlying asset. In determining whether or not any adjustment so described achieves an equitable result, the calculation agent may consider any adjustment made by the Options Clearing Corporation or any other equity derivatives clearing organization on options contracts on the affected underlying asset.
No such adjustments will be required unless such adjustments would result in a change of at least 0.1% in the initial level, downside threshold, coupon barrier, closing levels, final level and/or any other relevant term of the underlying asset, as applicable. All terms of the Notes resulting from any adjustment will be rounded up or down, as appropriate, to the nearest cent, with one-half cent being rounded upward.
The calculation agent will make all determinations with respect to antidilution adjustments, including any determination as to whether an event requiring adjustments has occurred (including whether an event has a diluting or concentrative effect on the theoretical value of the applicable underlying asset), as to the nature of the adjustments required and how they will be made or as to the value of any property received by, resulting from or otherwise retained by a hypothetical holder of an underlying asset in a reorganization event with respect to those Notes. Upon your written request, the calculation agent will provide you with information about any adjustments it makes as the calculation agent determines is appropriate.
The following events are those that may require antidilution adjustments:
➢a subdivision, consolidation or reclassification of an underlying asset or a free distribution or dividend of shares of an underlying asset to existing holders of an underlying asset by way of bonus, capitalization or similar issue;
➢a distribution or dividend to existing holders of an underlying asset of:
■additional shares of an underlying asset as described under “— Stock Dividends or Distributions” below,
■other share capital or securities granting the right to payment of dividends and/or proceeds of liquidation of the respective underlying asset issuer equally or proportionately with such payments to holders of an underlying asset, as applicable, or
■any other type of securities, rights or warrants in any case for payment (in cash or otherwise) at less than the prevailing market price as determined by the calculation agent;
➢the declaration by the respective underlying asset issuer of an extraordinary or special dividend or other distribution, whether in cash or additional shares of an underlying asset, as applicable, or other assets;
➢a repurchase by the respective underlying asset issuer of its equity, whether out of profits or capital and whether the consideration for such repurchase is cash, securities or otherwise;
➢a consolidation of the respective underlying asset issuer with another company; and
➢any other similar event that may have a diluting or concentrative effect on the theoretical value of an underlying asset.
The adjustments described below do not cover all events that could affect the value of the Notes. We describe the risks relating to dilution under “Key Risks — Risks Relating to Hedging Activities and Conflicts of Interest — Following certain events, the calculation agent can make adjustments to the underlying asset and the terms of the Notes that may adversely affect the market value of, and return on, the Notes”.