Filed
Pursuant to Rule 424(b)(2)
Registration
Statement Nos. 333-273353
333-273353-01 |
The
information in this preliminary pricing supplement is not complete and may be changed. This preliminary pricing supplement is not an
offer to sell nor does it seek an offer to buy these securities in any jurisdiction where the offer or sale is not permitted.
| |
Subject
to Completion. Dated February 26, 2025 |
|
 |
Nomura
America Finance, LLC
$
Callable
Contingent Coupon ETF-Linked Notes due 2025
guaranteed
by
Nomura
Holdings, Inc. |
|
Payment
at Maturity: The amount that you will be paid on your notes at maturity, if they have not been redeemed by us, in addition to the
final coupon, if any, is based on the performance of the underlier with the lowest underlier return. You could lose your entire investment
in the notes.
Coupon
Payments: The notes will pay a contingent monthly coupon on a coupon payment date if the closing value of each underlier is greater
than or equal to its coupon trigger value on the related coupon observation date.
Company’s
Redemption Right: Prior to the stated maturity date, we may redeem your notes at our option on any coupon payment date commencing
in March 2025.
The
return on your notes is linked to the performance of the underliers, and in each case not to that of the underlying index on which
the underlier is based.
The terms
included in the “Key Terms” table below are expected to be as indicated, but such terms will be set on the trade date. You
should read the disclosure herein to better understand the terms and risks of your investment, including the credit risk of Nomura America
Finance, LLC and Nomura Holdings, Inc. See page PS-9.
| Key
Terms |
|
| Issuer
/ Guarantor: |
Nomura
America Finance, LLC / Nomura Holdings, Inc. |
| Aggregate
face amount: |
$ |
| Cash
settlement amount: |
subject
to the early redemption feature, on the stated maturity date, in addition to any coupon then due, the issuer will pay, for each $1,000
face amount of the notes, an amount in cash equal to: |
| |
·
if the final underlier value of each underlier is greater than or equal to its buffer value: $1,000; or |
| |
·
if the final underlier value of any underlier is less than its buffer value: |
| |
$1,000
+ [$1,000 × (the least performing underlier return + buffer amount) × buffer
rate]
If
the final underlier value of any underlier declines by more than 24% from its initial underlier value, you will lose some or all
of your investment in the notes. Even with any contingent coupons received prior to maturity, your return on the notes may be negative. |
| Underliers: |
the
SPDR® S&P 500® ETF Trust (current Bloomberg symbol: “SPY US”) (the “SPY”),
the SPDR® S&P® Oil & Gas Exploration & Production ETF (current Bloomberg symbol:
“XOP US”) (the “XOP”), and the Energy Select Sector SPDR® Fund (current Bloomberg symbol:
“XLE US”) (the “XLE”) |
| Underlying
index: |
with
respect to each underlier, the index tracked by such underlier |
| Coupon
trigger value: |
$451.62
with respect to SPY, $100.05 with respect to XOP, and $68.13 with respect to XLE, each of which is 76% of its initial underlier value
(rounded to two decimal places) |
| Buffer
value: |
$451.62
with respect to SPY, $100.05 with respect to XOP, and $68.13 with respect to XLE, each of which is 76% of its initial underlier value
(rounded to two decimal places) |
| Buffer
rate: |
the
quotient of (i) 1 divided by (ii) 1 minus the buffer amount, which equals approximately 131.5789% |
| Buffer
amount: |
24% |
| Initial
underlier value: |
$594.24
with respect to SPY, $131.64 with respect to XOP, and $89.64 with respect to XLE, each of which was its closing value on the strike
date |
| Final
underlier value: |
with
respect to an underlier, the closing value of such underlier on the determination date* |
| Closing
value: |
the
closing price of an underlier |
| Underlier
return: |
with
respect to an underlier: (its final underlier value - its initial underlier value) / its initial underlier value |
| Least
performing underlier return: |
the
underlier return of the least performing underlier (the underlier with the lowest underlier return) |
| Calculation
agent: |
Nomura
Securities International, Inc. |
| CUSIP
/ ISIN: |
65541KBS2
/ US65541KBS24 |
*
subject to adjustment as described in the accompanying product prospectus supplement
Investing
in the notes involves significant risks, including Nomura America Finance, LLC and Nomura Holdings, Inc.’s credit risk. You
should carefully consider the risk factors under “Selected Risk Factors” beginning on page PS-9 of this pricing supplement,
under “Additional Risk Factors Specific to the Notes” beginning on page PS-18 of the accompanying product prospectus
supplement, under “Risk Factors” beginning on page 6 in the accompanying prospectus and any risk factors incorporated
by reference into the accompanying prospectus before you invest in the notes.
The estimated
value of your notes at the time the terms of your notes are set on the trade date (as determined by reference to pricing models used
by Nomura Securities International, Inc.) is expected to be between $957.50 and $987.50 per $1,000 face amount, which is expected
to be less than the original issue price.
The expected
delivery of the notes will be made against payment therefor on or about the original issue date.
The notes
will be unsecured obligations of Nomura America Finance, LLC. Nomura America Finance, LLC is not a bank, and the notes will not constitute
deposits insured by the U.S. Federal Deposit Insurance Corporation or any other governmental agency or instrumentality.
| |
Original
issue price |
Underwriting
discount(1) |
Net
proceeds to the issuer |
| Per
Note |
100.00%
of the face amount |
Up
to 0.50% |
At
least 99.50% |
| Total |
$ |
$ |
$ |
(1) See
“Supplemental Plan of Distribution.”
Neither
the Securities and Exchange Commission nor any other regulatory body has approved or disapproved of these securities or passed upon the
accuracy or adequacy of this pricing supplement. Any representation to the contrary is a criminal offense.
February
, 2025
| Key
Terms (continued) |
|
| Coupon: |
subject
to the early redemption feature, on each coupon payment date, the issuer will pay, for each
$1,000 of the outstanding face amount, an amount in cash equal to:
·
if the closing value of each underlier on the related coupon observation date is greater than or equal to its coupon trigger value:
$9.17 (0.917% monthly, or the potential for up to approximately 11.00% per annum); or
·
if the closing value of any underlier on the related coupon observation date is less than its coupon trigger value: $0 |
| Early
redemption feature: |
The
notes may be redeemed by the issuer at its option, in whole but not in part, on each coupon
payment date commencing in March 2025 and ending in November 2025, for an amount
in cash for each $1,000 of the outstanding face amount on the redemption date equal to $1,000
(along with the coupon then due).
If the
issuer chooses to exercise the issuer’s redemption right, it will notify the holder of this note (The Depository Trust Company)
and the trustee by giving at least three business days’ prior notice. We will have no independent obligation to notify you
directly. The day the issuer gives the notice, which will be a business day, will be the redemption notice date and the immediately
following coupon payment date, which the company will state in the redemption notice, will be the redemption date.
The company
will not give a redemption notice that results in a redemption date later than the November 2025 coupon payment date. A redemption
notice, once given, shall be irrevocable. |
| Strike
date: |
February 25,
2025 |
| Trade
date: |
expected
to be February 26, 2025 |
| Original
issue date: |
expected
to be March 3, 2025 |
| Determination
date: |
the
last coupon observation date, expected to be December 26, 2025* |
| Stated
maturity date: |
expected
to be December 31, 2025* |
| Coupon
observation dates* |
Coupon
payment dates* |
| March 25,
2025 |
March 28,
2025 |
| April 25,
2025 |
April 30,
2025 |
| May 27,
2025 |
May 30,
2025 |
| June 25,
2025 |
June 30,
2025 |
| July 25,
2025 |
July 30,
2025 |
| August 25,
2025 |
August 28,
2025 |
| September 25,
2025 |
September 30,
2025 |
| October 27,
2025 |
October 30,
2025 |
| November 25,
2025 |
December 1,
2025 |
| December 26,
2025 |
December 31,
2025 |
*
subject to adjustment as described in the accompanying product prospectus supplement
| The
issue price, underwriting discount and net proceeds listed above relate to the notes we sell initially. We may decide to sell additional
notes after the date of this pricing supplement, at issue prices and with underwriting discounts and net proceeds that differ from
the amounts set forth above. The return (whether positive or negative) on your investment in notes will depend in part on the issue
price you pay for such notes. |
| Nomura
America Finance, LLC may use this prospectus in the initial sale of the notes. In addition, Nomura Securities International, Inc.
or any other affiliate of Nomura America Finance, LLC may use this prospectus in a market-making transaction in a note after its
initial sale. Unless Nomura America Finance, LLC or its agent informs the purchaser otherwise in the confirmation of sale,
this prospectus is being used in a market-making transaction. |
| ADDITIONAL
INFORMATION |
| |
| You
should read this pricing supplement together with the prospectus, dated July 20, 2023 (the “prospectus”), and the
product prospectus supplement, dated February 29, 2024 (the “product prospectus supplement”), relating to our Senior
Global Medium-Term Notes, Series A, of which these notes are a part. In the event of any conflict between the terms of this
pricing supplement and the terms of the prospectus or the product prospectus supplement, the terms of this pricing supplement will
control. |
| |
| This
pricing supplement, together with the prospectus and the product prospectus supplement, contains the terms of the notes. You should
carefully consider, among other things, the matters set forth under “Risk Factors” in the accompanying prospectus, under
“Additional Risk Factors Specific to the Notes” in the accompanying product prospectus supplement, and under “Selected
Risk Factors” beginning on page PS-9 of this pricing supplement. We urge you to consult your investment, legal, tax, accounting
and other advisors before you invest in the notes. |
| |
| We
have not authorized anyone to provide any information or to make any representations other than those contained or incorporated by
reference in this pricing supplement. We take no responsibility for, and can provide no assurance as to the reliability of, any other
information that others may provide. This pricing supplement is an offer to sell only the securities offered hereby, but only under
circumstances and in jurisdictions where it is lawful to do so. The information contained in this pricing supplement is current only
as of its date. |
| |
| You
may access the prospectus and the product prospectus supplement on the SEC website at www.sec.gov as follows: |
| |
| ·
Prospectus dated July 20, 2023: |
| |
| https://www.sec.gov/Archives/edgar/data/1383951/000110465923082805/tm2320650-3_424b3.htm |
| |
| ·
Product Prospectus Supplement dated February 29, 2024: |
| |
| https://www.sec.gov/Archives/edgar/data/1163653/000110465924029404/tm247408-1_424b3.htm |
| |
| Some
of the terms or features described in the listed documents may not apply to your notes. |
SUPPLEMENTAL
TERMS OF THE NOTES
For
purposes of the notes offered by this pricing supplement, all references to each of the following terms used in the accompanying product
prospectus supplement will be deemed to refer to the corresponding term used in this pricing supplement, as set forth in the table below:
| Product
Prospectus Supplement Term |
Pricing
Supplement Term |
| redemption
settlement date |
redemption
date |
| contingent
coupon barrier |
coupon
trigger value |
| final
valuation date |
determination
date |
| initial
valuation date |
trade
date |
| principal
amount |
face
amount |
| reference
asset |
underlier |
| reference
asset performance |
underlier
return |
| reference
asset sponsor |
underlier
sponsor |
| scheduled
trading day |
trading
day |
| initial
value |
initial
underlier value |
| final
value |
final
underlier value |
| downside
participation rate |
buffer
rate |
Market Disruption
Event
The following
description supersedes the market disruption event disclosure in “General Terms of the Notes — Market Disruption Events —
Reference Assets Consisting of a Share of an ETF” in the accompanying product prospectus supplement:
Any of the
following will be a market disruption event with respect to an ETF:
| · | a
suspension, absence or material limitation of trading in such share on its primary market
for more than two hours or during the one-half hour before the close of trading in that market,
as determined by the calculation agent in its sole discretion; |
| · | a
suspension, absence or material limitation of trading in options or futures contracts relating
to such share, if available, in the primary market for those contracts for more than two
hours of trading or during the one-half hour before the close of trading in that market,
as determined by the calculation agent in its sole discretion; or |
| · | such
share does not trade on what was the primary market for that share, as determined by the
calculation agent in its sole discretion; |
and, in the
case of any of these events, the calculation agent determines in its sole discretion that such event materially interferes with our ability
or the ability of any of our affiliates to unwind all or a portion of a hedge with respect to the notes. For more information about hedging
by us or our affiliates, see “Use of Proceeds and Hedging” in the accompanying product prospectus supplement.
The following
events will not be market disruption events with respect to an ETF:
| · | a
limitation on the hours or numbers of days of trading, but only if the limitation results
from an announced change in the regular business hours of the relevant market; or |
| · | a
decision to permanently discontinue trading in the options or futures contracts relating
to such underlier. |
| HYPOTHETICAL
EXAMPLES |
| The
following examples are provided for purposes of illustration only. The examples should not be taken as an indication or prediction
of future investment results and merely are intended to illustrate (i) the impact that the various hypothetical closing values
of the underliers on a coupon observation date could have on the coupon payable, if any, on the related coupon payment date and (ii) the
impact that the various hypothetical closing values of the least performing underlier on the determination date could have on the
cash settlement amount at maturity assuming all other variables remain constant and are not intended to predict the closing values
of the underliers. |
| The
information in the following examples reflects hypothetical rates of return on the offered notes assuming that they are purchased
on the original issue date at the face amount and held to the stated maturity date or date of early redemption. If you sell your
notes in a secondary market prior to a the stated maturity date or date of early redemption, as the case may be, your return will
depend upon the market value of your notes at the time of sale, which may be affected by a number of factors that are not reflected
in the examples below, such as interest rates, the volatility of the underliers, the creditworthiness of Nomura America Finance,
LLC, as issuer, and the creditworthiness of Nomura Holdings, Inc., as guarantor. The information in the examples also reflects
the key terms and assumptions in the box below. |
| Key
Terms and Assumptions |
|
| Face
amount |
$1,000 |
| Coupon |
$9.17
(0.917% monthly, or the potential for up to approximately 11.00% per annum) |
| Coupon
trigger value |
with
respect to each underlier, 76% of its initial underlier value |
| Buffer
value |
with
respect to each underlier, 76% of its initial underlier value |
| Buffer
rate |
the
quotient of (i) 1 divided by (ii) 1 minus the buffer amount,
which equals approximately 131.5789% |
| Buffer
amount |
24% |
| The
notes are not redeemed, unless otherwise indicated below |
| Neither
a market disruption event nor a non-trading day occurs on any originally scheduled coupon observation date or the originally scheduled
determination date |
| No
change in or affecting any underlier, any underlier stock, any policy of the applicable ETF investment advisor or any method by which
the applicable underlier sponsor calculates its underlier or the sponsor of the applicable underlier’s underlying index calculates
its underlying index |
| Notes
purchased on original issue date at the face amount and held to the stated maturity date or date of early redemption |
For
these reasons, the actual performance of the underliers over the life of your notes, the actual underlier values on any coupon observation
date, as well as the coupon payable, if any, on each coupon payment date, may bear little relation to the hypothetical examples shown
below or to the historical underlier values shown elsewhere in this pricing supplement.
Also,
the hypothetical examples shown below do not take into account the effects of applicable taxes.
Hypothetical
Coupon Payments
The
examples below show the hypothetical coupon, if any, that we would pay on each coupon payment date with respect to each $1,000 face amount
of the notes if the hypothetical closing value of each underlier on the applicable coupon observation date was the percentage of its
initial underlier value shown.
Scenario
1
Coupon
Observation
Date |
Hypothetical
Closing
Value of the SPDR®
S&P 500® ETF Trust
(as Percentage of
Initial Underlier
Value) |
Hypothetical
Closing
Value of the SPDR®
S&P® Oil & Gas
Exploration &
Production ETF (as
Percentage of Initial
Underlier Value) |
Hypothetical
Closing
Value of the Energy
Select Sector SPDR®
Fund (as Percentage
of Initial Underlier
Value) |
Hypothetical
Coupon |
| 1 |
130.000% |
75.000% |
65.000% |
$0.00 |
| 2 |
69.000% |
130.000% |
135.000% |
$0.00 |
| 3 |
85.000% |
80.000% |
87.000% |
$9.17 |
| 4 |
65.000% |
60.000% |
65.000% |
$0.00 |
| 5 |
65.000% |
68.000% |
30.000% |
$0.00 |
| 6 |
90.000% |
55.000% |
95.000% |
$0.00 |
| 7 |
100.000% |
80.000% |
110.000% |
$9.17 |
| 8 |
110.000% |
105.000% |
50.000% |
$0.00 |
| 9 |
100.000% |
69.000% |
55.000% |
$0.00 |
| 10 |
90.000% |
65.000% |
65.000% |
$0.00 |
| |
|
|
Total
Hypothetical
Coupons |
$18.34 |
| In
Scenario 1, the hypothetical closing value of each underlier has increased or decreased relative to the initial underlier value on
each hypothetical coupon observation date. On the coupon payment dates relating to coupon observation dates on which the hypothetical
closing value of each underlier is greater than or equal to its coupon trigger value, you will receive a coupon payment. However,
on the coupon payment dates relating to coupon observation dates on which the hypothetical closing value of at least one underlier
is less than its coupon trigger value, you will not receive a coupon payment. |
Scenario
2
Coupon
Observation
Date |
Hypothetical
Closing
Value of the SPDR®
S&P 500® ETF Trust
(as Percentage of
Initial Underlier
Value) |
Hypothetical
Closing
Value of the SPDR®
S&P® Oil & Gas
Exploration &
Production ETF (as
Percentage of Initial
Underlier Value) |
Hypothetical
Closing
Value of the Energy
Select Sector SPDR®
Fund (as Percentage
of Initial Underlier
Value) |
Hypothetical
Coupon |
| 1 |
130.000% |
60.000% |
65.000% |
$0.00 |
| 2 |
90.000% |
65.000% |
125.000% |
$0.00 |
| 3 |
90.000% |
65.000% |
82.000% |
$0.00 |
| 4 |
90.000% |
135.000% |
65.000% |
$0.00 |
| 5 |
90.000% |
65.000% |
65.000% |
$0.00 |
| 6 |
90.000% |
70.000% |
65.000% |
$0.00 |
| 7 |
100.000% |
60.000% |
105.000% |
$0.00 |
| 8 |
110.000% |
50.000% |
83.000% |
$0.00 |
| 9 |
100.000% |
60.000% |
55.000% |
$0.00 |
| 10 |
90.000% |
69.000% |
75.000% |
$0.00 |
| |
|
|
Total
Hypothetical
Coupons |
$0.00 |
In
Scenario 2, the hypothetical closing value of each underlier has increased or decreased relative to the initial underlier value on each
hypothetical coupon observation date. However, you will not receive a coupon payment on any coupon payment date because in each case
the hypothetical closing value of at least one underlier on the related coupon observation date is less than its coupon trigger value.
The overall return you earn on your notes will be less than zero.
Scenario
3
Coupon
Observation
Date |
Hypothetical
Closing
Value of the SPDR®
S&P 500® ETF Trust
(as Percentage of
Initial Underlier
Value) |
Hypothetical
Closing
Value of the SPDR®
S&P® Oil & Gas
Exploration &
Production ETF (as
Percentage of Initial
Underlier Value) |
Hypothetical
Closing
Value of the Energy
Select Sector SPDR®
Fund (as Percentage
of Initial Underlier
Value) |
Hypothetical
Coupon |
| 1 |
110.000% |
105.000% |
105.000% |
$9.17 |
| |
|
|
Total
Hypothetical
Coupons |
$9.17 |
In
Scenario 3, the hypothetical closing value of each underlier is greater than its initial underlier value on the first hypothetical coupon
observation date. Further, we also exercise our early redemption right with respect to a redemption on the first hypothetical coupon
payment date (which is also the first hypothetical date with respect to which we could exercise such right). Therefore, on the first
coupon payment date (the redemption date), in addition to the coupon payment, you will receive an amount in cash equal to $1,000 for
each $1,000 face amount of your notes.
| Hypothetical
Payment at Maturity |
| If
the notes are not redeemed, the cash settlement amount that we
would deliver for each $1,000 face amount of your notes on the stated maturity date will depend on the performance of the least performing
underlier on the determination date, as shown in the table below. The table below assumes that the notes have not been redeemed
and does not include the final coupon, if any. If the final underlier value of the least performing underlier is less than its
coupon trigger value, you will not be paid a final coupon at maturity. |
| |
| The
values in the left column of the table below represent hypothetical final underlier values of the least performing underlier and
are expressed as percentages of the initial underlier value of the least performing underlier. The amounts in the right column represent
the hypothetical cash settlement amounts, based on the corresponding hypothetical final underlier value of the least performing underlier,
and are expressed as percentages of the face amount of a note (rounded to the nearest one-thousandth of a percent). Thus, a hypothetical
cash settlement amount of 100.000% means that the value of the cash payment that we would deliver for each $1,000 of the outstanding
face amount of the offered notes on the stated maturity date would equal 100.000% of the face amount of a note, based on the corresponding
hypothetical final underlier value of the least performing underlier and the assumptions noted above. |
| The
Notes Have Not Been Redeemed |
Hypothetical
Final Underlier Value
of the Least Performing Underlier (as Percentage of
Its Initial Underlier Value) |
Hypothetical
Cash Settlement Amount
(as Percentage of Face Amount) |
| 200.000% |
100.000%* |
| 175.000% |
100.000%* |
| 150.000% |
100.000%* |
| 125.000% |
100.000%* |
| 100.000% |
100.000%* |
| 90.000% |
100.000%* |
| 85.000% |
100.000%* |
| 76.000% |
100.000%* |
| 75.999% |
99.999% |
| 60.000% |
78.947% |
| 50.000% |
65.789% |
| 25.000% |
32.895% |
| 12.500% |
16.447% |
| 0.000% |
0.000% |
*Does
not include the final coupon
| As
shown in the table above, if the notes have not been redeemed: |
| ·
If the final underlier value of the least performing underlier were determined to be 12.500% of its initial underlier value, the
cash settlement amount that we would deliver on your notes at maturity would be 16.447% of the face amount of your notes. |
| ○
As a result, if you purchased your notes on the original issue date at the face amount and held them to the stated maturity date,
you would lose 83.553% of your investment (if you purchased your notes at a premium to face amount you would lose a correspondingly
higher percentage of your investment). |
| ·
If the final underlier value of the least performing underlier were determined to be 200.000% of its initial underlier value, the
cash settlement amount that we would deliver on your notes at maturity would be limited to 100.000% of each $1,000 face amount of
your notes. |
| ○
As a result, if you held your notes to the stated maturity date, you would not benefit from any increase in the final underlier value
of the least performing underlier over its initial underlier value. |
SELECTED
RISK FACTORS
Risks
Relating to the Structure or Features of the Notes
The
Notes Do Not Guarantee Any Return of Principal and You May Lose All of Your Face Amount.
The notes
do not guarantee any return of principal. The notes differ from ordinary debt securities in that we will not pay you 100% of the face
amount of your notes if the notes are not redeemed and the final underlier value of any underlier is less than its buffer value. In this
case, the payment at maturity you will be entitled to receive will be less than the face amount and you will lose approximately 1.315789%
for each 1% that the underlier performance of the least performing underlier is less than -24.00%. You may lose up to 100% of your investment
at maturity. Even with any contingent coupons received prior to maturity, your return on the notes may be negative in this case.
The
Amount Payable on the Notes Is Not Linked to the Values of the Underliers at Any Time Other Than the Coupon Observation Dates, Including
the Determination Date.
The payments
on the notes will be based on the closing value of each underlier on the coupon observation dates, including the determination date,
subject to postponement for non-trading days and certain market disruption events. Even if the value of the least performing underlier
is greater than or equal to its coupon trigger value during the term of the notes other than on a coupon observation date but then decreases
on a coupon observation date to a value that is less than its coupon trigger value, the contingent coupon will not be payable for the
relevant monthly period. Similarly, if the notes are not redeemed, even if the value of the least performing underlier is greater than
or equal to its buffer value during the term of the notes other than on the determination date but then decreases on the determination
date to a value that is less than its buffer value, the payment at maturity will be less, possibly significantly less, than it would
have been had the payment at maturity been linked to the value of the least performing underlier prior to such decrease. Although the
actual value of the least performing underlier on the maturity date or at other times during the term of the notes may be higher than
its value on the coupon observation dates, whether each contingent coupon will be payable and the payment at maturity will be based solely
on the closing value of the least performing underlier on the applicable coupon observation dates.
You
May Not Receive Any Contingent Coupons.
We will not
necessarily make periodic coupon payments on the notes. If the closing value of any underlier on a coupon observation date is less than
its coupon trigger value, we will not pay you the contingent coupon applicable to that coupon observation date. If on each of the coupon
observation dates, the closing value of any underlier is less than its coupon trigger value, we will not pay you any contingent coupons
during the term of, and you will not receive a positive return on, the notes. Generally, this non-payment of the contingent coupon coincides
with a period of greater risk of principal loss on the notes.
Your
Return on the Notes Is Limited to the Face Amount Plus the Contingent Coupons, If Any, Regardless of Any Appreciation in the Value
of Any Underlier.
You will
not participate in any appreciation of the underliers. In addition to any contingent coupon payments received prior to maturity or early
redemption, for each $1,000 face amount, at maturity or upon early redemption, you will receive $1,000 plus the final contingent coupon
if the closing value of the least performing underlier on the relevant coupon observation date is equal to or greater than its coupon
trigger value, regardless of any appreciation in the value of any underlier, which may be significant. Accordingly, the return on the
notes may be significantly less than the return on a security, the return of which was directly linked to the performance of any underlier
during the term of the notes.
We Are
Able to Redeem Your Notes at Our Option.
On each coupon
payment date commencing in March 2025 and ending in November 2025, we will be permitted to redeem your notes at our option.
Even if we do not exercise our option to redeem your notes, our ability to do so may adversely affect the value of your notes. It is
our sole option whether to redeem your notes prior to maturity and we may or may not exercise this option for any reason. Because of
this redemption option, the term of your notes could be reduced.
The
Notes May Be Redeemed Prior to the Maturity Date.
If the notes
are redeemed early, the holding period over which you may receive contingent coupon payments may be significantly reduced. It is more
likely that we will redeem the notes prior to maturity if we expect that the contingent coupon payments are likely to be payable on most
or all of the coupon payment dates during the term of the notes, resulting in a return on the notes which is greater than the interest
that would be payable on other instruments issued by us of comparable maturity, terms and credit rating trading in the market. There
is no guarantee that you would be able to reinvest the proceeds from an investment in the notes at a comparable return for a similar
level of risk in the event the notes are redeemed prior to the maturity date.
The Coupon
Does Not Reflect the Actual Performance of the Underliers from the Strike Date to Any Coupon Observation Date or from Coupon Observation
Date to Coupon Observation Date
The coupon
for each coupon payment date is different from, and may be less than, a coupon determined based on the percentage difference of the closing
values of the underliers between the strike date and any coupon observation date or
between two
coupon observation dates. Accordingly, the coupons, if any, on the notes may be less than the return you could earn on another instrument
linked to the underliers that pays coupons based on the performance of the underliers from the strike date to any coupon observation
date or from coupon observation date to coupon observation date.
Since
the Notes Are Linked to the Performance of More Than One Underlier, You Will Be Fully Exposed to the Risk of Fluctuations in the Value
of Each Underlier.
Since the
notes are linked to the performance of more than one underlier, the notes will be linked to the individual performance of each underlier.
Because such notes are not linked to a basket, in which the risk is mitigated and diversified among all of the components of a basket,
you will be exposed to the risk of fluctuations in the value of each underlier. For example, in the case of notes linked to a basket,
the return would depend on the aggregate performance of the basket components reflected as the basket return. Thus, the depreciation
of any basket component could be mitigated by the appreciation of another basket component. However, in the case of notes linked to the
performance of more than one underlier, the individual performance of each of the underliers would not be combined to calculate your
return and the depreciation of any underlier would not be mitigated by the appreciation of the other underliers. Instead, your return
would depend on the least performing underlier.
Because
the Notes Are Linked to the Performance of the Least Performing Underlier, You are Exposed to Greater Risks of Sustaining a Significant
Loss on Your Investment Than if the Notes Were Linked to Just One Underlier.
The risk
that you will suffer a significant loss on your investment is greater if you invest in such notes as opposed to substantially similar
securities that are linked to the performance of just one underlier. With multiple underliers, it is more likely that the value of one
of the underliers will be below its coupon trigger value on a coupon observation date or its buffer value on the determination date,
than if the notes were linked to only one underlier. Therefore, it is more likely that you will not receive any contingent coupon payments
and suffer a significant loss on your investment.
Higher
Contingent Coupon Rates or Lower Buffer Values Are Generally Associated With Underliers With Greater Expected Volatility and Therefore
Can Indicate a Greater Risk of Loss.
"Volatility"
refers to the frequency and magnitude of changes in the value of an underlier. The greater the expected volatility with respect to an
underlier on the trade date, the higher the expectation as of the trade date that the value of the underlier could close below its coupon
trigger value on a coupon observation date or its buffer value on the determination date, indicating a higher expected risk of non-payment
of contingent coupons or loss on the notes. This greater expected risk will generally be reflected in a higher contingent coupon rate
than the yield payable on our conventional debt securities with a similar maturity, or in more favorable terms (such as a lower buffer
value, a lower coupon trigger value or a higher contingent coupon rate) than for similar securities linked to the performance of underliers
with lower expected volatility as of the trade date. You should therefore understand that a relatively higher contingent coupon rate
may indicate an increased risk of loss. Further, a relatively lower buffer value may not necessarily indicate that the notes have a greater
likelihood of a repayment of principal at maturity. The volatility of any underlier can change significantly over the term of the notes.
The value of any underlier for your notes could fall sharply, which could result in a significant loss of principal. You should be willing
to accept the downside market risk of the underlier and the potential to lose some or all of your principal at maturity and to not receive
any contingent coupons.
General
Risk Factors
You Are
Subject to Nomura’s Credit Risk, and the Value of Your Notes May Be Adversely Affected by Negative Changes in the Market’s
Perception of Nomura’s Creditworthiness.
By purchasing
the notes, you are making, in part, a decision about Nomura’s ability to pay you the amounts you are owed pursuant to the terms
of your notes. Substantially all of our assets consist of loans to and other receivables from Nomura and its subsidiaries. Our obligations
under your notes are guaranteed by Nomura. Therefore, as a practical matter, our ability to pay you amounts we owe on the notes is directly
or indirectly linked solely to Nomura’s creditworthiness. In addition, the market’s perception of Nomura’s creditworthiness
generally will directly impact the value of your notes. If Nomura becomes or is perceived as becoming less creditworthy following your
purchase of notes, you should expect that the notes will decline in value in the secondary market, perhaps substantially. If you sell
your notes in the secondary market in such an environment, you may incur a substantial loss.
The
Estimated Value of Your Notes at the Time the Terms of Your Notes Are Set on the Trade Date (as Determined by Reference to Our Pricing
Models) Will Be Less Than the Original Issue Price of Your Notes.
The original
issue price for your notes will exceed the estimated value of your notes as of the time the terms of your notes are set on the trade
date, as determined by reference to our pricing models. Such estimated value will be set forth on the front cover of the final pricing
supplement. After the trade date, the estimated value, as determined by reference to these pricing models, may be affected by changes
in market conditions, our and Nomura’s creditworthiness and other relevant factors. If Nomura Securities International, Inc.
buys or sells your notes, it will do so at prices that reflect the estimated value determined by reference to such pricing models at
that time. The price at which Nomura Securities International, Inc. will buy or sell your notes at any time also will reflect, among
other things, its then current bid and ask spread for similar sized trades of structured notes.
In estimating
the value of your notes as of the time the terms of your notes are set on the trade date, as will be disclosed on the front cover of
the final pricing supplement, our pricing models consider certain variables, including principally Nomura’s internal funding rates,
interest rates (forecasted, current and historical rates), volatility, price-sensitivity analysis and the time to maturity of the notes.
These pricing models are proprietary and rely in part on certain assumptions about future events, which may prove to be incorrect. In
addition, our internal funding rate used in our models generally results in a higher estimated value of your notes than would result
if we estimated the value using our credit spreads for our conventional fixed rate debt. As a result, the actual value you would receive
if you sold your notes in the secondary market may differ, possibly even materially, from the estimated value of your notes that we will
determine by reference to our pricing models as of the time the terms of your notes are set on the trade date due to, among other things,
any differences in pricing models, third-parties’ use of our credit spreads in their models, or assumptions used by other market
participants.
The
difference between the estimated value of your notes as of the time the terms of your notes are set on the trade date and the original
issue price is a result of certain factors, including principally the underwriting discount and commissions, the expenses incurred in
creating, documenting and marketing the notes, and an estimate of the difference between the amounts we pay to our affiliates and the
amounts our affiliates pay to us in connection with their agreement to hedge our obligations on your notes. These
costs will be used or retained by us or one of our affiliates, except for underwriting discounts paid to unaffiliated distributors.
If We
Were to Repurchase Your Notes Immediately After the Original Issue Date, the Price You Receive May Be Higher Than the Estimated
Value of The Notes.
Assuming
that all relevant factors remain constant after the original issue date, the price at which we may initially buy or sell the notes in
the secondary market, if any, and the value that may initially be used for customer account statements, if any, may exceed the estimated
value on the trade date for a temporary period expected to be approximately 1 month after the original issue date. This temporary price
difference may exist because, in our discretion, we may elect to effectively reimburse to investors a portion of the estimated cost of
hedging our obligations under the notes and other costs in connection with the notes that we will no longer expect to incur over the
term of the notes. We will make such discretionary election and determine this temporary reimbursement period on the basis of a number
of factors, including the tenor of the notes and any agreement we may have with the distributors of the notes. The amount of our estimated
costs which we effectively reimburse to investors in this way may not be allocated ratably throughout the reimbursement period, and we
may discontinue such reimbursement at any time or revise the duration of the reimbursement period after the original issue date of the
notes based on changes in market conditions and other factors that cannot be predicted.
Because
Nomura Is a Holding Company, Your Right to Receive Payments on Nomura’s Guarantee of the Notes Is Subordinated to the Liabilities
of Nomura’s Other Subsidiaries.
The ability
of Nomura to make payments, as guarantor, on the notes, depends upon Nomura’s receipt of dividends, loan payments and other funds
from subsidiaries. In addition, if any of Nomura’s subsidiaries becomes insolvent, the direct creditors of that subsidiary will
have a prior claim on its assets, and Nomura’s rights and the rights of Nomura’s creditors, including your rights as an owner
of the notes, will be subject to that prior claim.
Nomura’s
subsidiaries are subject to various laws and regulations that may restrict Nomura’s ability to receive dividends, loan payments
and other funds from subsidiaries. In particular, many of Nomura’s subsidiaries, including its broker-dealer subsidiaries, are
subject to laws and regulations, including regulatory capital requirements, that authorize regulatory bodies to block or reduce the flow
of funds to the parent holding company, or that prohibit such transfers altogether in certain circumstances. For example, Nomura Securities
Co., Ltd., Nomura Securities International, Inc., Nomura International plc and Nomura International (Hong Kong) Limited, Nomura’s
main broker-dealer subsidiaries, are subject to regulatory capital requirements that could limit the transfer of funds to Nomura. These
laws and regulations may hinder Nomura’s ability to access funds needed to make payments on Nomura’s obligations.
You Must
Rely on Your Own Evaluation of the Merits of an Investment Linked to the Underliers.
In the ordinary
course of business, Nomura or any of its affiliates may have expressed views on expected movements in the underliers, and may do so in
the future. These views or reports may be communicated to Nomura’s clients and clients of its affiliates. However, any such views
are and will be subject to change from time to time. Moreover, other professionals who deal in markets relating to the underliers may
at any time have significantly different views from those of Nomura or its affiliates. For these reasons, you are encouraged to derive
information concerning the underliers from multiple sources, and you should not rely on any of the views that may have been expressed
or that may be expressed in the future by Nomura or any of its affiliates. Neither the offering of the notes nor any view which Nomura
or any of its affiliates from time to time may express in the ordinary course of business constitutes a recommendation as to the merits
of an investment in the notes or any of the component securities.
Your Return
May Be Lower Than the Return on Other Debt Securities of Comparable Maturity.
Any contingent
coupons payable on your notes may represent a return that is below the prevailing market rate for other debt securities of comparable
maturity that are not linked to an underlier. Consequently, unless the cash settlement amount you receive on the maturity date substantially
exceeds the amount you paid for your notes, the overall return you
earn on your
notes could be less than what you would have earned by investing in non–underlier-linked debt securities that bear interest at
prevailing market rates. For example, your return may be less than the return you would earn if you bought a traditional interest-bearing
debt security with the same maturity date. Your investment may not reflect the full opportunity cost to you when you take into account
factors that affect the time value of money.
The Historical
Performance of the Underliers Should Not Be Taken as an Indication of Its Future Performance.
The historical
values of the underliers included in this pricing supplement should not be taken as an indication of its future performance. Changes
in the values of the underliers will affect the market value of the notes, but it is impossible to predict whether the values of the
underliers will rise or fall during the term of the notes. The values of the underliers will be influenced by complex and interrelated
political, economic, financial and other factors.
Our or
Our Affiliates’ Hedging and Trading Activities May Adversely Affect the Market Value of the Notes.
As described
under “Use of Proceeds and Hedging” in the accompanying product prospectus supplement, we or one or more of our affiliates
may hedge our obligations under the notes by entering into transactions involving purchases of futures and/or other derivative instruments
linked to the underliers. We also expect that we or one or more of our affiliates will adjust these hedges by, among other things, purchasing
or selling any of the foregoing, and perhaps other instruments linked to any of the foregoing, at any time and from time to time, and
unwind the hedge by selling any of the foregoing on or before the determination date for the notes or in connection with the redemption
of the notes. Our or our affiliates’ hedging activities may result in our or our affiliates’ receiving a substantial return
on these hedging activities even if your investment in the notes results in a loss to you. These hedging activities could adversely affect
the values of the underliers and, therefore, the market value of the notes and the cash settlement amount payable on the notes.
We or one
or more of our affiliates may also issue or underwrite other securities or financial or derivative instruments with returns linked or
related to changes in the performance of the underliers. By introducing competing products into the marketplace in this manner, we or
one or more of our affiliates could adversely affect the market value of the notes and the cash settlement amount payable on the notes.
We or one
or more of our affiliates may also engage in business with the component securities issuers or trading activities related to the component
securities, which may present a conflict of interest between us (or our affiliates) and you.
There
Are Potential Conflicts of Interest between You and the Calculation Agent and between You and Our Other Affiliates.
The calculation
agent will make important determinations as to the notes. Among other things, the calculation agent will determine the applicable closing
values of the underliers. We have initially appointed our affiliate, Nomura Securities International, Inc., to act as the calculation
agent. We may change the calculation agent after the original issue date without notice to you. For a fuller description of the calculation
agent’s role, see “General Terms of the Notes— Role of Calculation Agent” in the accompanying product
prospectus supplement. The calculation agent will exercise its judgment when performing its functions and will make any determination
required or permitted of it in its sole discretion. For example, the calculation agent may have to determine whether a market disruption
event affecting an underlier has occurred and may also have to determine its closing value in such case. This determination may, in turn,
depend on the calculation agent’s judgment whether the event has materially interfered with our ability or the ability of one of
our affiliates to unwind our hedge positions. All determinations by the calculation agent are final and binding on you absent manifest
error. Since this determination by the calculation agent will affect the cash settlement amount payable on the notes, the calculation
agent may have a conflict of interest if it needs to make a determination of this kind, and the cash settlement amount payable on your
notes may be adversely affected. In addition, if the calculation agent determines that a market disruption event has occurred, it can
postpone any relevant valuation date, which may have the effect of postponing the maturity date. If this occurs, you will receive the
cash settlement amount, if any, after the originally scheduled stated maturity date but will not receive any additional payment or any
interest on such postponed cash settlement amount.
We or our
affiliates may have other conflicts of interest with holders of the notes. See “Additional Risk Factors Specific to the Notes—Our
or Our Affiliates’ Business Activities May Create Conflicts of Interest” in the accompanying product prospectus
supplement.
There
May Not Be an Active Trading Market for the Notes—Sales in the Secondary Market May Result in Significant Losses.
The notes
will not be listed on any securities exchange, and there may be little or no secondary market for the notes. Nomura Securities International, Inc.
and other affiliates of ours currently intend to make a market for the notes, although they are not required to do so. Nomura Securities
International, Inc. or any other affiliate of ours may stop any such market-making activities at any time. Even if a secondary market
for the notes develops, it may not provide significant liquidity and the notes may not trade at prices advantageous to you. We expect
that transaction costs in any secondary market would be high. As a result, the difference between bid and ask prices for your notes in
any secondary market could be substantial.
Furthermore,
if you sell your notes, you will likely be charged a commission for secondary market transactions, or the price will likely reflect a
dealer discount.
If you sell
your notes before the maturity date, you may have to do so at a substantial discount from the issue price and as a result you may suffer
substantial losses.
The
Return on Your Notes Will Not Reflect Any Dividends Paid on the Underliers or the Underlier Stocks.
The return
on your notes will not reflect the return you would realize if you actually owned the underliers or underlier stocks and received the
distributions paid on the shares of the underliers. You will not receive any dividends that may be paid on any of the underlier stocks
by the underlier stock issuers or the shares of the underliers. See “—You Have No Shareholder Rights or Rights to Receive
Any Shares of the Underliers or Any Underlier Stock” below for additional information.
You
Have No Shareholder Rights or Rights to Receive Any Shares of the Underliers
or Any Underlier Stock.
Investing
in your notes will not make you a holder of any shares of the underliers or any underlier stocks. Neither you nor any other holder or
owner of your notes will have any rights with respect to the underliers or the underlier stocks, including any voting rights, any rights
to receive dividends or other distributions, any rights to make a claim against the underliers or the underlier stocks or any other rights
of a holder of any shares of the underliers or the underlier stocks. Your notes will be paid in cash, as will any coupon payments, and
you will have no right to receive delivery of any shares of the underliers or any underlier stocks.
An
Investment in the Notes is Subject to Risks Associated With Investing in Securities With Concentration in the Oil and Gas Exploration
and Production Industry.
All or
substantially all of the stocks held by the XOP are issued by companies in the oil and gas exploration and production industry.
Because the value of the notes is linked to the performance of the Least Performing Underlier, an investment in the notes exposes
investors to risks associated with investments in the stocks of companies in the oil and gas exploration and production industry. As
a result, the value of the notes may be subject to greater volatility and be more adversely affected by a single economic, political
or regulatory occurrence affecting this industry than a different investment linked to securities of a more broadly diversified
group of issuers. Issuers in energy-related industries can be significantly affected by fluctuations in energy prices and supply and
demand of energy fuels. Markets for various energy-related commodities can have significant volatility, and are subject to control
or manipulation by large producers or purchasers. Companies in the energy sector may need to make substantial expenditures, and to
incur significant amounts of debt, in order to maintain or expand their reserves. Companies in the oil and gas sector develop and
produce crude oil and natural gas and provide drilling and other energy resources production and distribution related services.
Stock prices for these types of companies are affected by supply and demand both for their specific product or service and for
energy products in general. The price of oil and gas, exploration and production spending, government regulation, world events and
economic conditions will likewise affect the performance of these companies. Securities of companies in the energy field are subject
to swift price and supply fluctuations caused by events relating to international politics, energy conservation, the success of
exploration projects, and tax and other governmental regulatory policies. Weak demand for the companies’ products or services
or for energy products and services in general, as well as negative developments in these other areas, would adversely impact the
XOP’s performance. Oil and gas exploration and production can be significantly affected by natural disasters as well as
changes in exchange rates, interest rates, government regulation, world events and economic conditions. These companies may be at
risk for environmental damage claims. These factors could affect the oil and gas exploration and production industry and could
affect the value of the stocks held by the XOP and the price of the XOP during the term of the notes, which may adversely affect the
value of your notes.
An Investment
in the Notes Is Subject to Risks Associated With the Energy Sector.
All or substantially
all of the stocks held by the XLE are issued by companies whose primary business is directly associated with the energy sector. Because
the value of the notes is linked to the performance of the Least Performing Underlier, an investment in the notes exposes investors
to risks associated with investments in the stocks of companies in the energy sector. The value of the notes may be subject to greater
volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting the energy sector than a
different investment linked to a more broadly diversified group of underlying stocks.
Energy
companies develop and produce crude oil and natural gas and/or provide drilling and other energy resources production and distribution
related services. Stock prices for these types of companies are mainly affected by the business, financial and operating conditions of
the particular company, as well as changes in prices for oil, gas and other types of fuels, which in turn largely depend on supply and
demand for various energy products and services. Some of the factors that may influence supply and demand for energy products and services
include: general economic conditions and growth rates; weather conditions; the cost of exploring for, producing and delivering oil and
gas; technological advances affecting energy efficiency and energy consumption; the ability of the Organization of Petroleum Exporting
Countries (OPEC) to set and maintain production levels of oil; currency fluctuations; inflation; natural disasters; civil unrest, acts
of sabotage or terrorism; and other regional or global events. The profitability of energy companies may also be adversely affected by
existing and future laws, regulations, government actions and other legal requirements relating to protection of the environment, health
and safety matters and others that may increase the costs of conducting their business or may reduce or delay available business opportunities.
Increased supply or weak demand for energy products and services, as well as
various
developments leading to higher costs of doing business or missed business opportunities, would adversely impact the performance of companies
in the energy sector. All these factors may adversely affect the price of the XLE and consequently, the return on the notes.
Changes
That Affect the Underliers or the Relevant Underlying Index May Affect the Value of the Underliers and the Market Value of the Notes
and the Amount You Will Receive on the Notes and the Amount You Will Receive at Maturity.
The policies
of the sponsors or the investment advisor of the underliers or the underliers’ underlying index concerning additions, deletions
and substitutions of the stocks included in or held by the underliers, and the manner in which the sponsors or the investment advisor
takes account of certain changes affecting those stocks, may affect the value of the underliers. The policies of the underlier sponsors
or the investment advisor with respect to the calculation of the underliers could also affect the value of the underliers. The sponsors
may discontinue or suspend calculation or dissemination of the underliers or the underliers’ underlying index. Any such actions
could affect the value of the underliers and the value of and the return on the notes.
THE
UNDERLIERS
Description
of the SPY
The
units of the SPDR® S&P 500® ETF Trust
are issued by SPDR® S&P 500® ETF Trust, a unit investment trust that is a registered investment company.
| · | The
SPY is an exchange-traded fund that seeks investment results which correspond generally to
the price and yield performance, before fees and expenses, of the S&P 500®
Index (the “SPX”). The SPX includes 500 selected companies listed on national
stock exchanges and spanning a broad range of major industries. |
| · | The
return on your notes is linked to the performance of the SPY, and not to that of the SPX
on which the SPY is based. The performance of the SPY may significantly diverge from that
of its index. |
| · | The
SPY does not have an investment advisor. Its investments are adjusted by the trustee. With respect to SPY, all references to the term “investment advisor” used herein and in the accompanying product prospectus
supplement will be deemed to refer to “trustee”. The
SPY’s trustee is State Street Global Advisors Trust Company. |
| · | The
trust’s sponsor is PDR Services, LLC. |
| · | The
SPY’s units trade on the NYSE Arca under the ticker symbol “SPY”. |
| · | The
trust’s SEC CIK Number is 0000884394. |
| · | The
inception date for purposes of the units was January 22, 1993. |
Historical
Performance of the SPY
The following
graph sets forth the historical performance of the SPY based on the daily historical closing values from January 1, 2020 through
February 25, 2025. We obtained the closing values below from Bloomberg L.P. (“Bloomberg”). We have not undertaken any
independent review of, or made any due diligence inquiry with respect to, the information obtained from Bloomberg.
The historical
levels of the SPY should not be taken as an indication of future performance, and no assurance can be given as to the closing value of
the SPY on any coupon observation date, including the determination date.
Description
of the XOP
The
shares of the SPDR® S&P® Oil & Gas Exploration & Production ETF are issued by the SPDR® Series Trust, a registered investment company.
| · | The
XOP is an exchange-traded fund that seeks investment results that, before fees and expenses,
correspond generally to the total return performance of the S&P Oil & Gas Exploration &
Production Select Industry Index (the “SPSIOP”). The SPSIOP represents the oil
and gas exploration and production segment of the S&P Total Market Index. The S&P
Total Market Index is designed to track the broad U.S. equity market. |
| · | The
return on your notes is linked to the performance of the XOP, and not to that of the SPSIOP
on which the XOP is based. The XOP follows a strategy of “representative sampling,”
which means the XOP’s holdings are not the same as those of its index. The performance
of the XOP may significantly diverge from that of its index. |
| · | The
XOP’s investment advisor is SSGA Funds Management, Inc. |
| · | The
XOP’s shares trade on the NYSE Arca under the ticker symbol “XOP”. |
| · | The
trust’s SEC CIK Number is 0001064642. |
| · | The
XOP’s inception date was June 19, 2006. |
Historical
Performance of the XOP
The following
graph sets forth the historical performance of the XOP based on the daily historical closing values from January 1, 2020 through
February 25, 2025. We obtained the closing values below from Bloomberg. We have not undertaken any independent review of, or made
any due diligence inquiry with respect to, the information obtained from Bloomberg.
The historical
levels of the XOP should not be taken as an indication of future performance, and no assurance can be given as to the closing value of
the XOP on any coupon observation date, including the determination date.
Description
of the XLE
The shares
of the Energy Select Sector SPDR® Fund are issued by the Select Sector SPDR® Trust, a registered investment
company.
| · | The
XLE is an exchange-traded fund that seeks to provide investment results that, before expenses,
correspond generally to the price and yield performance of the Energy Select Sector Index
(the “IXE”). The IXE includes companies in the SPX that have been identified
as Energy companies by the Global Industry Classification Standard, including securities
of companies from the following industries: oil, gas and consumable fuels; and energy equipment
and services. The SPX is a broad-based securities market index that includes common stocks
of approximately 500 companies from a number of sectors representing a significant portion
of the market value of all stocks publicly traded in the United States. |
| · | The
return on your notes is linked to the performance of the XLE, and not to that of the IXE
on which the XLE is based. The performance of the XLE may significantly diverge from that
of its index. |
| · | The
XLE’s investment advisor is SSGA Funds Management, Inc. |
| · | The
XLE’s shares trade on the NYSE Arca under the ticker symbol “XLE”. |
| · | The
trust’s SEC CIK Number is 0001064641. |
| · | The
XLE’s inception date was December 16, 1998. |
Historical
Performance of the XLE
The
following graph sets forth the historical performance of the XLE based on the daily historical closing values from January 1, 2020
through February 25, 2025. We obtained the closing values below from Bloomberg. We have not undertaken any independent review of,
or made any due diligence inquiry with respect to, the information obtained from Bloomberg.
The historical
prices of the XLE should not be taken as an indication of future performance, and no assurance can be given as to the closing value of
the XLE on any coupon observation date, including the determination date.
SUPPLEMENTAL
DISCUSSION OF U.S. FEDERAL INCOME TAX CONSEQUENCES
You
should carefully consider the matters set forth in “U.S. Federal Income Tax Considerations” in the accompanying prospectus.
The following discussion summarizes the U.S. federal income tax consequences of the purchase, beneficial ownership, and disposition of
the notes. This summary supplements the section “U.S. Federal Income Tax Considerations” in the accompanying prospectus and
supersedes it to the extent inconsistent therewith.
There
is no direct legal authority as to the proper tax treatment of the notes, and therefore significant aspects of the tax treatment of the
notes are uncertain as to both the timing and character of any inclusion in income in respect of the notes. Under one approach, a note
should be treated as a contingent income-bearing pre-paid derivative contract with respect to the underliers. We intend to treat the
notes consistent with this approach. Pursuant to the terms of the notes, you agree to treat the notes under this approach for all U.S.
federal income tax purposes. Subject to the limitations described therein, and based on certain factual representations received from
us, in the opinion of our special U.S. tax counsel, Mayer Brown LLP, it is reasonable to treat a note as a contingent income-bearing
pre-paid derivative contract with respect to the underliers. Because there are no statutory provisions, regulations, published rulings
or judicial decisions addressing the characterization for U.S. federal income tax purposes of securities with terms that are substantially
the same as those of the notes, other characterizations and treatments are possible and the timing and character of income in respect
of the notes might differ from the treatment described herein.
U.S.
Holders. Please see the discussion under the heading “U.S.
Federal Income Tax Considerations — Tax Treatment of U.S. Holders — Certain Notes Treated as a Put Option and a Deposit or
a Derivative Contract — Certain Notes Treated as Prepaid Derivative Contracts” in the accompanying prospectus for a further
discussion of U.S. federal income tax considerations applicable to U.S. holders (as defined in the accompanying prospectus). Pursuant
to the approach discussed above, we intend to treat any gain or loss upon maturity or an earlier sale, exchange, or redemption as capital
gain or loss in an amount equal to the difference between the amount you receive at such time (other than with respect to any contingent
coupon) and your tax basis in the note. Any such gain or loss will be long-term capital gain or loss if you have held the note for more
than one year at such time for U.S. federal income tax purposes. Your tax basis in a note generally will equal your cost of the note.
In addition, the tax treatment of the contingent coupons is unclear. Although the tax treatment of the contingent coupons is unclear,
we intend to treat any contingent coupon, including on the maturity date, as ordinary income includible in income by you at the time
it accrues or is received in accordance with your normal method of accounting for U.S. federal income tax purposes.
Non-U.S.
Holders. Please see the discussion under the heading “U.S.
Federal Income Tax Considerations — Tax Treatment of Non-U.S. Holders” in the accompanying prospectus for further discussion
of U.S. federal income tax considerations applicable to non-U.S. holders (as defined in the accompanying prospectus). Because the U.S.
federal income tax treatment (including the applicability of withholding) of the contingent coupons is uncertain, to the extent we have
a withholding obligation, we intend to withhold U.S. federal income tax on the entire amount of any contingent coupons at a 30% rate
(or at a lower rate under an applicable income tax treaty). Even if we do not have a withholding obligation, another withholding agent
in the chain of payments may effectuate withholding to the same extent. Any U.S. federal withholding tax should generally be imposed
once. We will not pay any additional amounts in respect of any such withholding.
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% U.S. withholding tax if paid to a non-U.S. holder. Under U.S. Treasury Department regulations, payments (including
deemed 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 an “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. However, Internal Revenue Service guidance provides that withholding on dividend equivalent
payments will not apply to specified ELIs that are not delta-one instruments and that are issued before January 1, 2027. Based on
the Issuer’s determination that the notes are not “delta-one” instruments, non-U.S. holders should not be subject to
withholding on dividend equivalent payments, if any, under the notes. However, it is possible that the notes could be treated as deemed
reissued for U.S. federal income tax purposes upon the occurrence of certain events affecting the underliers or the notes, and following
such occurrence the notes could be treated as subject to withholding on dividend equivalent payments. Non-U.S. holders that enter, or
have entered, into other transactions in respect of the underliers or the notes should consult their tax advisors as to the application
of the dividend equivalent withholding tax in the context of the notes and their other transactions. If any payments are treated as dividend
equivalents subject to withholding, we (or the applicable paying agent) would be entitled to withhold taxes without being required to
pay any additional amounts with respect to amounts so withheld.
PROSPECTIVE
PURCHASERS OF NOTES SHOULD CONSULT THEIR TAX ADVISORS AS TO THE FEDERAL, STATE, LOCAL, AND OTHER TAX CONSEQUENCES TO THEM OF THE PURCHASE,
OWNERSHIP AND DISPOSITION OF NOTES.
| SUPPLEMENTAL
PLAN OF DISTRIBUTION |
| See
“Plan of Distribution (Conflicts of Interest)” in the accompanying prospectus. |
| Nomura
America Finance, LLC will sell to GS&Co., and GS&Co. will purchase from Nomura America Finance, LLC, the aggregate face amount
of the offered notes specified on the front cover of this pricing supplement. GS&Co. proposes initially to offer the notes to
the public at the original issue price set forth on the cover page of this pricing supplement, and to certain securities dealers
at such price less a concession not in excess of up to 0.50% of the face amount. |
| We
will deliver the notes against payment therefor in New York, New York on the original issue date set forth on page PS-2 of this
pricing supplement. Under Rule 15c6-1 of the Securities Exchange Act of 1934, trades in the secondary market generally are required
to settle in one business day, unless the parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to
trade notes on any date prior to one business day before delivery will be required to specify alternative settlement arrangements
to prevent a failed settlement. |
| We
have been advised by Nomura Securities International, Inc. that it intends to make a market in the notes. However, neither Nomura
Securities International, Inc. nor any of its other affiliates that makes a market is obligated to do so and any of them may
stop doing so at any time without notice. No assurance can be given as to the liquidity or trading market for the notes. |
| The
notes will not be listed on any securities exchange or interdealer quotation system. |
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