The Underlyings
All
disclosures contained in this pricing supplement regarding the Underlyings, including, without
limitation, their make-up, method of calculation, and changes in their components, have been
derived from publicly available sources. The information reflects the policies of, and is
subject to change by, the sponsor of the NDX, the sponsor of the RTY and the sponsor of the SPX
(collectively, the “Underlying Sponsors”). The Underlying Sponsors, which license
the copyright and all other rights to the respective Underlyings, have no obligation to continue
to publish, and may discontinue publication of, the Underlyings. The consequences of any
Underlying Sponsor discontinuing publication of the applicable Underlying are discussed in
“Description of the Notes — Discontinuance of an Index” in the accompanying
product supplement. None of us, the Guarantor, the calculation agent, or BofAS accepts any
responsibility for the calculation, maintenance or publication of any Underlying or any
successor index. None of us, the Guarantor, BofAS or any of our other affiliates makes any
representation to you as to the future performance of the Underlyings. You should make your own
investigation into the Underlyings.
The
Nasdaq-100® Index
The NDX
is intended to measure the performance of the 100 largest domestic and international
non-financial securities listed on The Nasdaq Stock Market ("NASDAQ") based on market
capitalization. The NDX reflects companies across major industry groups including computer
hardware and software, telecommunications, retail/wholesale trade and biotechnology. It does not
contain securities of financial companies including investment companies.
The NDX
began trading on January 31, 1985 at a base value of 125.00. The NDX is calculated and published
by Nasdaq, Inc. In administering the NDX, Nasdaq, Inc. will exercise reasonable discretion as it
deems appropriate.
Underlying Stock Eligibility
Criteria
NDX
eligibility is limited to specific security types only. The security types eligible for the NDX
include foreign or domestic common stocks, ordinary shares, ADRs and tracking stocks. Security
types not included in the NDX are closed-end funds, convertible debt securities, exchange traded
funds, limited liability companies, limited partnership interests, preferred stocks, rights,
shares or units of beneficial interest, warrants, units, and other derivative securities. The
NDX does not contain securities of investment companies. For purposes of the NDX eligibility
criteria, if the security is a depositary receipt representing a security of a non-U.S. issuer,
then references to the “issuer” are references to the issuer of the underlying
security.
Initial Eligibility Criteria
To be
eligible for initial inclusion in the NDX, a security must be listed on NASDAQ and meet the
following criteria:
•
the
security’s U.S. listing must be exclusively on the Nasdaq Global Select Market or the
Nasdaq Global Market (unless the security was dually listed on another U.S. market prior to
January 1, 2004 and has continuously maintained such listing);
•
the
security must be of a non-financial company;
•
the
security may not be issued by an issuer currently in bankruptcy proceedings;
•
the
security must have a minimum three-month average daily trading volume of at least 200,000
shares;
•
if the
issuer of the security is organized under the laws of a jurisdiction outside the U.S., then such
security must have listed options on a recognized options market in the U.S. or be eligible for
listed-options trading on a recognized options market in the U.S.;
•
the
issuer of the security may not have entered into a definitive agreement or other arrangement
which would likely result in the security no longer being eligible for inclusion in the NDX;
•
the
issuer of the security may not have annual financial statements with an audit opinion that is
currently withdrawn; and
•
the
issuer of the security must have “seasoned” on NASDAQ, the New York Stock Exchange
or NYSE Amex. Generally, a company is considered to be seasoned if it has been listed on a
market for at least three full months (excluding the first month of initial listing).
Continued Eligibility Criteria
In
addition, to be eligible for continued inclusion in the NDX, the following criteria apply:
•
the
security’s U.S. listing must be exclusively on the Nasdaq Global Select Market or the
Nasdaq Global Market;
•
the
security must be of a non-financial company;
•
the
security may not be issued by an issuer currently in bankruptcy proceedings;
•
the
security must have a minimum three-month average daily trading volume of at least 200,000
shares;
•
if the
issuer of the security is organized under the laws of a jurisdiction outside the U.S., then such
security must have listed options on a recognized options market in the U.S. or be eligible for
listed-options trading on a recognized options market in the U.S. (measured annually during the
ranking review process);
•
the
security must have an adjusted market capitalization equal to or exceeding 0.10% of the
aggregate adjusted market capitalization of the NDX at each month-end. In the event a company
does not meet this criterion for two consecutive month-ends, it will be removed from the NDX
effective after the close of trading on the third Friday of the following month; and