Bank of the West plans CDs linked to DWA Large Cap Sector Rotation

New York, April 6 – Bank of the West plans to price 0% market-linked certificates of deposit due April 29, 2022 linked to the DWA Large Cap Sector Rotation Target Volatility 7 index, according to a term sheet.

The payout at maturity will be par plus 105% to 110% of the index return, subject to a minimum payout of par. The exact participation rate will be set at pricing.

The index intends to represent a performance benchmark that invests in the Dorsey, Wright & Associates, LLC Large Cap Sector Rotation Total Return index (the “base index”), algorithmically adjusts the exposure so as to decrease in times of high volatility and increase in times of low volatility in order to seek to maintain a constant target volatility of 7% and is made with borrowed money funded at a synthetically rolling Libor and subject to an adjustment factor of 0.95% per annum.

The objective of the base index is to provide exposure to State Street sector exchange-traded funds representative of the five highest-ranked broad U.S. economic sectors based on Dorsey, Wright & Associates, LLC’s broad sector ranking methodology.

BNP Paribas Securities Corp. is the agent. The fees are expected to be up to 4%.

The CDs will price on April 27 and settle on April 30.

The Cusip number is 06426XNA4.

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