Bond ScotiaBank 0% ( US064159TA44 ) in USD

Issuer ScotiaBank
Market price 100 %  ▼ 
Country  Canada
ISIN code  US064159TA44 ( in USD )
Interest rate 0%
Maturity 22/10/2021 - Bond has expired



Prospectus brochure of the bond Bank of Nova Scotia US064159TA44 in USD 0%, expired


Minimal amount 1 000 USD
Total amount 12 317 000 USD
Cusip 064159TA4
Standard & Poor's ( S&P ) rating N/A
Moody's rating N/A
Detailed description The Bank of Nova Scotia, also known as Scotiabank, is a multinational banking and financial services corporation headquartered in Toronto, Canada, with a significant international presence focusing on the Americas and select Asian markets.

The Bond issued by ScotiaBank ( Canada ) , in USD, with the ISIN code US064159TA44, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Bond maturity is 22/10/2021







424B2 1 bn54689852-424b2.htm FORM 424B2
File d Pursua nt t o Rule 4 2 4 (b)(2 )
Re gist ra t ion N o. 3 3 3 -2 2 8 6 1 4
T he Ba nk of N ova Sc ot ia
$ 1 2 ,3 1 7 ,0 0 0 Ca ppe d Buffe re d Enha nc e d Pa rt ic ipa t ion N ot e s
Link e d t o t he S& P 5 0 0 ® I nde x Due Oc t obe r 2 2 , 2 0 2 1
T he not e s do not be a r int e re st . The amount that you will be paid on your notes at maturity (October 22, 2021) is based on the performance of the S&P 500®
Index (the reference asset) as measured from the trade date (February 6, 2020) to and including the valuation date (October 20, 2021).
If the final level on the valuation date is greater than the initial level of 3,345.78, the return on your notes will be positive and will equal 130% times the percentage
change, which is the percentage increase or decrease in the final level from the initial level, subject to the maximum payment amount of $1,170.95 for each $1,000
principal amount of your notes. If the final level declines by up to 12.50% from the initial level, you will receive the principal amount of your notes. I f t he fina l le ve l
de c line s by m ore t ha n 1 2 .5 0 % from t he init ia l le ve l, t he re t urn on your not e s w ill be ne ga t ive a nd you m a y lose your e nt ire princ ipa l
a m ount . Spe c ific a lly, you w ill lose a pprox im a t e ly 1 .1 4 2 9 % for e ve ry 1 % ne ga t ive pe rc e nt a ge c ha nge be low 8 7 .5 0 % of t he init ia l le ve l. Any
pa ym e nt on your not e s is subje c t t o t he c re dit w ort hine ss of T he Ba nk of N ova Sc ot ia .
To determine your payment at maturity, we will first calculate the percentage change. At maturity, for each $1,000 principal amount of your notes:
?
if the final level is greater than the initial level (the percentage change is positive), you will receive an amount in cash equal to the sum of (i) $1,000 plus (ii) the
product of (a) $1,000 times (b) the percentage change times (c) 130%, subject to the maximum payment amount;


?
if the final level is equal to the initial level or less than the initial level, but not by more than 12.50% (the percentage change is zero or negative but equal to or
greater than -12.50%), you will receive an amount in cash equal to $1,000; or


?
if the final level is less than the initial level by more than 12.50% (the percentage change is negative and is less than -12.50%), you will receive an amount in cash
equal to the sum of (i) $1,000 plus (ii) the product of (a) $1,000 times (b) the buffer rate of approximately 114.29% times (c) the sum of the percentage change plus
12.50%.
Following the determination of the initial level, the amount you will be paid on your notes at maturity will not be affected by the closing level of the reference asset on
any day other than the valuation date. I n a ddit ion, no pa ym e nt s on your not e s w ill be m a de prior t o m a t urit y.
I nve st m e nt in t he not e s involve s c e rt a in risk s. Y ou should re fe r t o "Addit iona l Risk s" be ginning on pa ge P -1 5 of t his pric ing supple m e nt
a nd "Addit iona l Risk Fa c t ors Spe c ific t o t he N ot e s" be ginning on pa ge PS-6 of t he a c c om pa nying produc t prospe c t us supple m e nt a nd
"Risk Fa c t ors" be ginning on pa ge S -2 of t he a c c om pa nying prospe c t us supple m e nt a nd on pa ge 5 of t he a c c om pa nying prospe c t us.
T he init ia l e st im a t e d va lue of your not e s a t t he t im e t he t e rm s of your not e s w e re se t on t he t ra de da t e w a s $ 9 9 6 .4 0 pe r $ 1 ,0 0 0 princ ipa l
a m ount , w hic h is le ss t ha n t he origina l issue pric e of your not e s list e d be low . See "Additional Information Regarding Estimated Value of the Notes" on
the following page and "Additional Risks" beginning on page P-15 of this document for additional information. The actual value of your notes at any time will reflect many
factors and cannot be predicted with accuracy.

Per Note
Total
Original Issue Price
100.00%
$12,317,000.00
Underwriting commissions
0.00%
$0.00
Proceeds to The Bank of Nova Scotia
100.00%
$12,317,000.00
N EI T H ER T H E U N I T ED ST AT ES SECU RI T I ES AN D EX CH AN GE COM M I SSI ON N OR AN Y ST AT E SECU RI T I ES COM M I SSI ON H AS APPROV ED
OR DI SAPPROV ED OF T H E N OT ES OR PASSED U PON T H E ACCU RACY OR T H E ADEQU ACY OF T H I S PRI CI N G SU PPLEM EN T , T H E
ACCOM PAN Y I N G PROSPECT U S, ACCOM PAN Y I N G PROSPECT U S SU PPLEM EN T OR ACCOM PAN Y I N G PRODU CT PROSPECT U S
SU PPLEM EN T . AN Y REPRESEN T AT I ON T O T H E CON T RARY I S A CRI M I N AL OFFEN SE.
T H E N OT ES ARE N OT I N SU RED BY T H E CAN ADA DEPOSI T I N SU RAN CE CORPORAT I ON (T H E "CDI C") PU RSU AN T T O T H E CAN ADA
DEPOSI T I N SU RAN CE CORPORAT I ON ACT (T H E "CDI C ACT ") OR T H E U .S. FEDERAL DEPOSI T I N SU RAN CE CORPORAT I ON OR AN Y OT H ER
GOV ERN M EN T AGEN CY OF CAN ADA, T H E U N I T ED ST AT ES OR AN Y OT H ER J U RI SDI CT I ON .
Sc ot ia Ca pit a l (U SA) I nc .
Pricing Supplement dated February 6, 2020
The Capped Buffered Enhanced Participation Notes Linked to the S&P 500® Index Due October 22, 2021 (the "notes") offered hereunder are unsubordinated and
unsecured obligations of The Bank of Nova Scotia (the "Bank") and are subject to investment risks including possible loss of the principal amount invested due to the
negative performance of the reference asset and the credit risk of The Bank of Nova Scotia. As used in this pricing supplement, the "Bank," "we," "us" or "our" refers to
The Bank of Nova Scotia. The notes will not be listed on any U.S. securities exchange or automated quotation system.
The return on your notes will relate to the price return of the reference asset and will not include a total return or dividend component. The notes are derivative products
based on the performance of the reference asset. The notes do not constitute a direct investment in any of the shares, units or other securities represented by the
reference asset. By acquiring the notes, you will not have a direct economic or other interest in, claim or entitlement to, or any legal or beneficial ownership of any such
share, unit or security and will not have any rights as a shareholder, unitholder or other security holder of any of the issuers including, without limitation, any voting rights
or rights to receive dividends or other distributions.
Scotia Capital (USA) Inc. ("SCUSA"), our affiliate, has agreed to purchase the notes from us for distribution to one or more registered broker dealers. SCUSA or any of its
affiliates or agents may use this pricing supplement in market-making transactions in notes after their initial sale. Unless we, SCUSA or another of our affiliates or agents
selling such notes to you informs you otherwise in the confirmation of sale, this pricing supplement is being used in a market-making transaction. See "Supplemental Plan
of Distribution (Conflicts of Interest)" in this pricing supplement and "Supplemental Plan of Distribution (Conflicts of Interest)" on page PS-36 of the accompanying product
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prospectus supplement.
The original issue price, commissions and proceeds to the Bank listed above relate to the notes we issue initially. We may decide to sell additional notes after the date of
this pricing supplement, at original issue prices and with commissions and proceeds to the Bank that differ from the amounts set forth above. The return (whether positive
or negative) on your investment in the notes will depend in part on the original issue price you pay for such notes.
Addit iona l I nform a t ion Re ga rding Est im a t e d V a lue of t he N ot e s
On the cover page of this pricing supplement, the Bank has provided the initial estimated value for the notes. The estimated value was determined by reference to the
Bank's internal pricing models, which take into consideration certain factors, such as the Bank's internal funding rate on the trade date and the Bank's assumptions about
market parameters. For more information about the initial estimated value, see "Additional Risks" beginning on page P-15.
The economic terms of the notes (including the maximum payment amount) are based on the Bank's internal funding rate, which is the rate the Bank would pay to borrow
funds through the issuance of similar market-linked notes, any underwriting discount and the economic terms of certain related hedging arrangements. Due to these
factors, the original issue price you pay to purchase the notes is greater than the initial estimated value of the notes. The Bank's internal funding rate is typically lower
than the rate the Bank would pay when it issues conventional fixed rate debt securities as discussed further under "Additional Risks -- Neither the Bank's nor SCUSA's
estimated value of the notes at any time is determined by reference to credit spreads or the borrowing rate the Bank would pay for its conventional fixed-rate debt
securities". The Bank's use of its internal funding rate reduces the economic terms of the notes to you.
The value of your notes at any time will reflect many factors and cannot be predicted; however, the price (not including SCUSA's customary bid and ask spreads) at which
SCUSA would initially buy or sell notes in the secondary market (if SCUSA makes a market, which it is not obligated to do) is equal to approximately SCUSA's estimate of
the market value of your notes on the trade date, based on its pricing models and taking into account the Bank's internal funding rate, plus an additional amount (initially
equal to $3.60 per $1,000 principal amount).
Prior to May 6, 2020, the price (not including SCUSA's customary bid and ask spreads) at which SCUSA would buy or sell your notes (if it makes a market, which it is not
obligated to do) will equal approximately the sum of (a) the then-current estimated value of your notes (as determined by reference to SCUSA's pricing models) plus (b)
any remaining additional amount (the additional amount will decline to zero on a straight-line basis from the time of pricing through May 5, 2020). On and after May 6,
2020, the price (not including SCUSA's customary bid and ask spreads) at which SCUSA would buy or sell your notes (if it makes a market) will equal approximately the
then-current estimated value of your notes determined by reference to such pricing models. For additional information regarding the price at which SCUSA would buy or
sell your notes (if SCUSA makes a market, which it is not obligated to do), each based on SCUSA's pricing models; see "Additional Risks -- The price at which SCUSA
would buy or sell your notes (if SCUSA makes a market, which it is not obligated to do) will be based on SCUSA's estimated value of your notes".
We urge you t o re a d t he "Addit iona l Risk s" be ginning on pa ge P -1 5 of t his pric ing supple m e nt .
P-2
Sum m a ry
The information in this "Summary" section is qualified by the more detailed information set forth in this pricing supplement, the accompanying prospectus, accompanying
prospectus supplement, and accompanying product prospectus supplement, each filed with the Securities and Exchange Commission ("SEC"). See "Additional Terms of
Your Notes" in this pricing supplement.
I ssue r:

The Bank of Nova Scotia (the "Bank")



I ssue :

Senior Note Program, Series A



CU SI P/I SI N :

CUSIP: 064159TA4 / ISIN: US064159TA44



T ype of N ot e s:

Capped Buffered Enhanced Participation Notes



Re fe re nc e Asse t :

The S&P 500® Index (Bloomberg Ticker: SPX)



M inim um I nve st m e nt a nd

$1,000 and integral multiples of $1,000 in excess thereof
De nom ina t ions:



Princ ipa l Am ount :

$1,000 per note; $12,317,000 in the aggregate for all the offered notes; the aggregate principal amount of the offered
notes may be increased if the Bank, at its sole option, decides to sell an additional amount of the offered notes on a
date subsequent to the date of this pricing supplement.



Origina l I ssue Pric e :

100% of the principal amount of each note



Curre nc y:

U.S. dollars



T ra de Da t e :

February 6, 2020



Origina l I ssue Da t e :

February 13, 2020
Delivery of the notes will be made against payment therefor on the 5th business day following the date of pricing of
the notes (this settlement cycle being referred to as "T+5"). Under Rule 15c6-1 of the Securities Exchange Act of
1934, as amended, trades in the secondary market generally are required to settle in two business days ("T+2"),
unless the parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to trade the notes
on or prior to the second business day before delivery of the notes will be required, by virtue of the fact that each
note initially will settle in five business days (T+5), to specify alternative settlement arrangements to prevent a failed
settlement.
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V a lua t ion Da t e :

October 20, 2021
The valuation date could be delayed by the occurrence of a market disruption event. See "General Terms of the
Notes--Market Disruption Events" beginning on page PS-20 in the accompanying product prospectus supplement.
Further, if the valuation date is not a trading day, the valuation date will be postponed in the same manner as if a
market disruption event has occurred.
P-3
M a t urit y Da t e :

October 22, 2021, subject to adjustment due to a market disruption event, a non-trading day or a non-business day
as described in more detail under "General Terms of the Notes--Maturity Date" on page PS-18 in the accompanying
product prospectus supplement.




Princ ipa l a t Risk :

You may lose all or a substantial portion of your initial investment at maturity if there is a percentage decrease from
the initial level to the final level of more than 12.50%.



Purc ha se a t a m ount ot he r t ha n princ ipa l
The amount we will pay you on the maturity date for your notes will not be adjusted based on the original issue price
a m ount :
you pay for your notes, so if you acquire notes at a premium (or discount) to the principal amount and hold them to
the maturity date, it could affect your investment in a number of ways. The return on your investment in such notes
will be lower (or higher) than it would have been had you purchased the notes at the principal amount. Also, the
stated buffer level would not offer the same measure of protection to your investment as would be the case if you had
purchased the notes at the principal amount. Additionally, the maximum payment amount would be triggered at a
lower (or higher) percentage return than indicated below, relative to your initial investment. See "Additional Risks--If
you purchase your notes at a premium to the principal amount, the return on your investment will be lower than the
return on notes purchased at the principal amount and the impact of certain key terms of the notes will be negatively
affected" beginning on page P-19 of this pricing supplement.



Fe e s a nd Ex pe nse s:

As part of the distribution of the notes, SCUSA or one of our other affiliates has agreed to sell the notes to certain
unaffiliated securities dealers at the original issue price per note specified on the cover hereof. See "Supplemental
Plan of Distribution (Conflicts of Interest)" in this pricing supplement.

The price at which you purchase the notes includes costs that the Bank or its affiliates expect to incur and profits that
the Bank or its affiliates expect to realize in connection with hedging activities related to the notes, as set forth below
under "Supplemental Plan of Distribution (Conflicts of Interest)". These costs and profits will likely reduce the
secondary market price, if any secondary market develops, for the notes. As a result, you may experience an
immediate and substantial decline in the market value of your notes on the trade date. See "Additional Risks--
Hedging activities by the Bank and SCUSA may negatively impact investors in the notes and cause our respective
interests and those of our clients and counterparties to be contrary to those of investors in the notes" in this pricing
supplement.



Pa ym e nt a t M a t urit y:

The payment at maturity, for each $1,000 principal amount of notes, will be based on the performance of the
reference asset and will be calculated as follows:





?
If the final level is greater than the initial level, then the payment at maturity will equal:

o
The lesser of (a) principal amount + [principal amount x percentage change x participation rate] and (b)

maximum payment amount





?
If the final level is greater than or equal to the buffer level, but less than or equal to the initial level, then the

payment at maturity will equal the principal amount





?
If the final level is less than the buffer level, then the payment at maturity will equal:

P-4


o
principal amount + [principal amount x buffer rate x (percentage change + buffer percentage)]




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In this case you will suffer a percentage loss on your initial investment equal to the buffer rate multiplied by
the negative percentage change in excess of the buffer percentage. Accordingly, you could lose up to 100%
of your initial investment.



Closing Le ve l:

As used herein, the "closing level" of the reference asset on any date will be determined based upon the closing level
published on the Bloomberg Professional® service ("Bloomberg") page "SPX <Index>" or any successor page on
Bloomberg or any successor service, as applicable, on such date.



I nit ia l Le ve l:

3,345.78, which was the closing level of the reference asset on the trade date.



Fina l Le ve l:

The closing level of the reference asset on the valuation date. In certain special circumstances, the final level will be
determined by the calculation agent, in its discretion. See "General Terms of the Notes--Unavailability of the Level
of the Reference Asset on a Valuation Date" beginning on page PS-19 and "General Terms of the Notes--Market
Disruption Events" beginning on page PS-20 in the accompanying product prospectus supplement.



Pe rc e nt a ge Cha nge :

The percentage change, expressed as a percentage, with respect to the payment at maturity, is calculated as follows:
final level ­ initial level
initial level
For the avoidance of doubt, the percentage change may be a negative value.



Pa rt ic ipa t ion Ra t e :

130.00%



Buffe r Le ve l:

87.50% of the initial level



Buffe r Pe rc e nt a ge :

12.50%



Buffe r Ra t e :

The quotient of the initial level divided by the buffer level, which equals approximately 114.29%



M a x im um Pa ym e nt Am ount :

$1,170.95 for each $1,000 principal amount of your notes, which equals the principal amount x 117.095%. The
maximum payment amount sets a cap on appreciation of the reference asset of 13.15%.



Form of N ot e s:

Book-entry



Ca lc ula t ion Age nt :

Scotia Capital Inc., an affiliate of the Bank
P-5
St a t us:

The notes will constitute direct, unsubordinated and unsecured obligations of the Bank ranking pari passu with all
other direct, unsecured and unsubordinated indebtedness of the Bank from time to time outstanding (except as
otherwise prescribed by law). Holders will not have the benefit of any insurance under the provisions of the CDIC
Act, the U.S. Federal Deposit Insurance Act or under any other deposit insurance regime of any jurisdiction.



T a x Re de m pt ion:

The Bank (or its successor) may redeem the notes, in whole but not in part, at a redemption price determined by the
calculation agent in a manner reasonably calculated to preserve your and our relative economic position, if it is
determined that changes in tax laws or their interpretation will result in the Bank (or its successor) becoming
obligated to pay additional amounts with respect to the notes. See "Tax Redemption" in the accompanying product
prospectus supplement.



List ing:

The notes will not be listed on any securities exchange or quotation system.



U se of Proc e e ds:

General corporate purposes



Cle a ra nc e a nd Se t t le m e nt :

Depository Trust Company



T ra ding Da y:

A day on which the respective principal securities markets for all of the stocks comprising the reference asset (the
"reference asset constituent stocks") are scheduled to be open for trading, the sponsor of the reference asset (the
"sponsor") is scheduled to be open for business and the reference asset is expected to be calculated and published
by the sponsor.



Busine ss Da y:

New York and Toronto



T e rm s I nc orpora t e d:
All of the terms appearing above the item under the caption "General Terms of the Notes" beginning on page PS-15
in the accompanying product prospectus supplement, as modified by this pricing supplement.





Ca na dia n Ba il-in:

The notes are not bail-inable debt securities under the CDIC Act.
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I N V EST I N G I N T H E N OT ES I N V OLV ES SI GN I FI CAN T RI SK S. Y OU M AY LOSE ALL OR A SU BST AN T I AL PORT I ON OF Y OU R I N V EST M EN T . AN Y
PAY M EN T ON T H E N OT ES, I N CLU DI N G AN Y REPAY M EN T OF PRI N CI PAL, I S SU BJ ECT T O T H E CREDI T WORT H I N ESS OF T H E BAN K . I F T H E
BAN K WERE T O DEFAU LT ON I T S PAY M EN T OBLI GAT I ON S Y OU M AY N OT RECEI V E AN Y AM OU N T S OWED T O Y OU U N DER T H E N OT ES AN D
Y OU COU LD LOSE Y OU R EN T I RE I N V EST M EN T .
P-6
ADDI T I ON AL T ERM S OF Y OU R N OT ES
You should read this pricing supplement together with the prospectus dated December 26, 2018, as supplemented by the prospectus supplement dated December 26,
2018 and the product prospectus supplement (Equity Linked Index Notes, Series A) dated December 26, 2018, relating to our Senior Note Program, Series A, of which
these notes are a part. Capitalized terms used but not defined in this pricing supplement will have the meanings given to them in the product prospectus supplement. In
the event of any conflict between this pricing supplement and any of the foregoing, the following hierarchy will govern: first, this pricing supplement; second, the
accompanying product prospectus supplement; third, the prospectus supplement; and last, the prospectus. The notes may vary from the terms described in the
accompanying prospectus, accompanying prospectus supplement and accompanying product prospectus supplement in several important ways. You should
read this pricing supplement carefully, including the documents incorporated by reference herein.
This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all prior or contemporaneous oral statements as well
as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, brochures or
other educational materials of ours. You should carefully consider, among other things, the matters set forth in "Additional Risk Factors Specific to the Notes" in the
accompanying product prospectus supplement, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal,
tax, accounting and other advisors before you invest in the notes. You may access these documents on the SEC website at www.sec.gov as follows (or if that address has
changed, by reviewing our filings for the relevant date on the SEC website).
Product Prospectus Supplement (Equity Linked Index Notes, Series A) dated December 26, 2018:
http://www.sec.gov/Archives/edgar/data/9631/000091412118002483/bn50682441-424b2.htm
Prospectus Supplement dated December 26, 2018:
http://www.sec.gov/Archives/edgar/data/9631/000091412118002473/bn50676984-424b3.htm
Prospectus dated December 26, 2018:
http://www.sec.gov/Archives/edgar/data/9631/000119312518357537/d677731d424b3.htm
P-7
I N V EST OR SU I T ABI LI T Y
The notes may be suitable for you if:
?
You fully understand and accept the risks inherent in an investment in the notes, including the risk of losing all or a substantial portion of your initial investment.


?
You can tolerate a loss of up to 100% of your initial investment.


?
You are willing to make an investment that, if the final level of the reference asset is less than the buffer level, has an accelerated downside risk greater than the
downside market risk of a hypothetical investment in the reference asset or in the reference asset constituent stocks.


?
You believe that the level of the reference asset will appreciate over the term of the notes and that the appreciation is unlikely to exceed the cap on appreciation
within the maximum payment amount.


?
You are willing to hold the notes to maturity, a term of approximately 20 months, and accept that there may be little or no secondary market for the notes.


?
You understand and accept that your potential payment at maturity is limited to the maximum payment amount and you are willing to invest in the notes based on the
maximum payment amount indicated on the cover hereof.


?
You can tolerate fluctuations in the price of the notes prior to maturity that may be similar to or exceed the downside fluctuations in the level of the reference asset or
in the price of the reference asset constituent stocks.


?
You do not seek current income from your investment.
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?
You are willing to assume the credit risk of the Bank for all payments under the notes, and understand that if the Bank defaults on its obligations you may not
receive any amounts due to you including any repayment of principal.
The notes may not be suitable for you if:
?
You do not fully understand or are unwilling to accept the risks inherent in an investment in the notes, including the risk of losing all or a substantial portion of your
initial investment.


?
You require an investment designed to guarantee a full return of principal at maturity.


?
You cannot tolerate a loss of all or a substantial portion of your initial investment.


?
You are not willing to make an investment that, if the final level of the reference asset is less than the buffer level, has an accelerated downside risk greater than the
downside market risk of a hypothetical investment in the reference asset or in the reference asset constituent stocks.


?
You believe that the level of the reference asset will decline during the term of the notes and the final level will likely be less than the buffer level, or you believe the
level of the reference asset will appreciate over the term of the notes and that the appreciation is likely to equal or exceed the cap on appreciation within the
maximum payment amount.


?
You seek an investment that has unlimited return potential without a cap on appreciation or you are unwilling to invest in the notes based on the maximum payment
amount indicated on the cover hereof.


?
You cannot tolerate fluctuations in the price of the notes prior to maturity that may be similar to or exceed the downside fluctuations in the level of the reference
asset or in the price of the reference asset constituent stocks.


?
You seek current income from your investment or prefer to receive dividends paid on the reference asset constituent stocks.
P-8
?
You are unable or unwilling to hold the notes to maturity, a term of approximately 20 months, or you seek an investment for which there will be a secondary market.


?
You are not willing to assume the credit risk of the Bank for all payments under the notes.
T he inve st or suit a bilit y c onside ra t ions ide nt ifie d a bove a re not e x ha ust ive . Whe t he r or not t he not e s a re a suit a ble inve st m e nt for you w ill
de pe nd on your individua l c irc um st a nc e s a nd you should re a c h a n inve st m e nt de c ision only a ft e r you a nd your inve st m e nt , le ga l, t a x ,
a c c ount ing a nd ot he r a dvisors ha ve c a re fully c onside re d t he suit a bilit y of a n inve st m e nt in t he not e s in light of your pa rt ic ula r
c irc um st a nc e s. Y ou should a lso re vie w ``Addit iona l Risk s'' in t his pric ing supple m e nt a nd t he ``Addit iona l Risk Fa c t ors Spe c ific t o t he
N ot e s'' be ginning on pa ge PS-6 of t he a c c om pa nying produc t prospe c t us supple m e nt a nd "Risk Fa c t ors" be ginning on pa ge S -2 of t he
a c c om pa nying prospe c t us supple m e nt a nd on pa ge 5 of t he a c c om pa nying prospe c t us for risk s re la t e d t o a n inve st m e nt in t he not e s.
P-9
H Y POT H ET I CAL PAY M EN T S AT M AT U RI T Y ON T H E N OT ES
The examples set out below are included for illustration purposes only. They should not be taken as an indication or prediction of future investment results and are
intended merely to illustrate the impact that the various hypothetical reference asset levels on the valuation date could have on the payment at maturity assuming all other
variables remain constant.
The examples below are based on a range of final levels that are entirely hypothetical; the level of the reference asset on any day throughout the life of the notes,
including the final level on the valuation date, cannot be predicted. The reference asset has been highly volatile in the past, meaning that the level of the reference asset
has changed considerably in relatively short periods, and its performance cannot be predicted for any future period.
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
principal amount and held to the maturity date. If you sell your notes in a secondary market prior to the maturity date, 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
reference asset and our creditworthiness. In addition, the estimated value of your notes at the time the terms of your notes were set on the trade date (as determined by
reference to pricing models used by us) is less than the original issue price of your notes. For more information on the estimated value of your notes, see "Additional
Risks-- The Bank's initial estimated value of the notes at the time of pricing (when the terms of your notes were set on the trade date) is lower than the original issue
price of the notes" on page P-15 of this pricing supplement. The information in the examples also reflect the key terms and assumptions in the box below.
K e y T e rm s a nd Assum pt ions
Principal amount
$1,000
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Participation rate
130.00%
Maximum payment amount
$1,170.95 for each $1,000 principal amount of your notes
Buffer level
87.50% of the initial level
Buffer percentage
12.50%
Buffer rate
Approximately 114.29%
Neither a market disruption event nor a non-trading day occurs on the originally scheduled valuation date
No change in or affecting any of the reference asset constituent stocks or the method by which the sponsor calculates the reference asset
Notes purchased on the original issue date at the principal amount and held to the maturity date
The actual performance of the reference asset over the life of your notes, as well as the amount payable at maturity, if any, may bear little relation to the hypothetical
examples shown below or to the historical levels of the reference asset shown elsewhere in this pricing supplement. For information about the historical levels of the
reference asset, see "Information Regarding the Reference Asset--Historical Information" below.
P-10
Also, the hypothetical examples shown below do not take into account the effects of applicable taxes. Because of the U.S. tax treatment applicable to your notes, tax
liabilities could affect the after-tax rate of return on your notes to a comparatively greater extent than the after-tax return on the reference asset constituent stocks.
The levels in the left column of the table below represent hypothetical final levels and are expressed as percentages of the initial level. The amounts in the right column
represent the hypothetical payment at maturity, based on the corresponding hypothetical final level, and are expressed as percentages of the principal amount of a note
(rounded to the nearest one-thousandth of a percent). Thus, a hypothetical payment at maturity of 100.000% means that the value of the cash payment that we would pay
for each $1,000 of the outstanding principal amount of the offered notes on the maturity date would equal 100.000% of the principal amount of a note, based on the
corresponding hypothetical final level and the assumptions noted above.
H ypot he t ic a l Fina l Le ve l
H ypot he t ic a l Pa ym e nt a t M a t urit y
(a s Pe rc e nt a ge of I nit ia l Le ve l)
(a s Pe rc e nt a ge of Princ ipa l Am ount )
150.000%
117.095%
140.000%
117.095%
130.000%
117.095%
120.000%
117.095%
115.000%
117.095%
1 1 3 .1 5 0 %
1 1 7 .0 9 5 %
110.000%
113.000%
105.000%
106.500%
1 0 0 .0 0 0 %
1 0 0 .0 0 0 %
95.000%
100.000%
90.000%
100.000%
8 7 .5 0 0 %
1 0 0 .0 0 0 %
80.000%
91.429%
70.000%
80.000%
60.000%
68.571%
50.000%
57.143%
25.000%
28.571%
0 .0 0 0 %
0 .0 0 0 %
If, for example, the final level were determined to be 25.000% of the initial level, the payment at maturity that we would pay on your notes at maturity would be
approximately 28.571% of the principal amount of your notes, as shown in the table above. As a result, if you purchased your notes on the original issue date at the
principal amount and held them to the maturity date, you would lose approximately 71.429% of your investment (if you purchased your notes at a premium to the principal
amount you would lose a correspondingly higher percentage of your investment). If the final level were determined to be 0.000% of the initial level, you would lose
100.000% of your investment in the notes. In addition, if the final level were determined to be 150.000% of the initial level, the payment at maturity that we would pay on
your notes would be capped at the maximum payment amount, or 117.095% of each $1,000 principal amount of your notes, as shown in the table above. If you hold your
notes to maturity, you will not benefit from any increase in the level of the reference asset to a final level that is greater than 113.150% of the initial level.
P-11
The following chart shows a graphical illustration of the hypothetical payment at maturity that we would pay on your notes on the maturity date, if the final level were any of
the hypothetical levels shown on the horizontal axis. T he hypot he t ic a l pa ym e nt s a t m a t urit y in t he c ha rt a re e x pre sse d a s pe rc e nt a ge s of t he
princ ipa l a m ount of your not e s a nd t he hypot he t ic a l fina l le ve ls a re e x pre sse d a s pe rc e nt a ge s of t he init ia l le ve l. T he c ha rt show s t ha t a ny
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hypot he t ic a l fina l le ve l of le ss t ha n 8 7 .5 0 0 % (t he se c t ion le ft of t he 8 7 .5 0 0 % m a rk e r on t he horizont a l a x is) w ould re sult in a hypot he t ic a l
pa ym e nt a t m a t urit y of le ss t ha n 1 0 0 .0 0 0 % of t he princ ipa l a m ount of your not e s (t he se c t ion be low t he 1 0 0 .0 0 0 % m a rk e r on t he ve rt ic a l
a x is) a nd, a c c ordingly, in a loss of princ ipa l t o t he holde r of t he not e s. T he c ha rt a lso show s t ha t a ny hypot he t ic a l fina l le ve l of gre a t e r t ha n
or e qua l t o 1 1 3 .1 5 0 % (t he se c t ion right of t he 1 1 3 .1 5 0 % m a rk e r on t he horizont a l a x is) w ould re sult in a c a ppe d re t urn on your inve st m e nt .
P-12
The following examples illustrate the calculation of the payment at maturity based on the key terms and assumptions above. The amounts below have been rounded for
ease of analysis.
Example 1--
Calculation of the payment at maturity where the percentage change is positive.



Percentage Change:
5.00%




Payment at Maturity:
$1,000.00 + ($1,000.00 x 130.00% x 5.00%) = $1,000.00 + $65.00 = $1,065.00




On a $1,000.00 investment, a 5.00% percentage change results in a payment at maturity of $1,065.00.


Example 2--
Calculation of the payment at maturity where the percentage change is positive and the payment at maturity is subject to the maximum payment
amount.



Percentage Change:
50.00%




Payment at Maturity:
$1,000.00 + ($1,000.00 x 130.00% x 50.00%) = $1,000.00 + $650.00 = $1,650.00. However, the maximum
payment amount is $1,170.95 and the payment at maturity would be $1,170.95.




On a $1,000.00 investment, a 50.00% percentage change results in a payment at maturity of $1,170.95.


Example 3--
Calculation of the payment at maturity where the percentage change is negative but is equal to or greater than -12.50%.



Percentage Change:
-8.00%




Payment at Maturity:
$1,000.00 (at maturity, if the percentage change is negative BUT the decrease is not more than the buffer
percentage, then the payment at maturity will equal the principal amount).




On a $1,000.00 investment, a -8.00% percentage change results in a payment at maturity of $1,000.00.


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Example 4--
Calculation of the payment at maturity where the percentage change is negative and is less than -12.50%.



Percentage Change:
-50.00%




Payment at Maturity:
$1,000.00 + [$1,000.00 x 114.29% x (-50.00% + 12.50%)] = $1,000.00 - $428.57 = $571.43




On a $1,000.00 investment, a -50.00% percentage change results in a payment at maturity of $571.43.
Ac c ordingly, if t he pe rc e nt a ge c ha nge is le ss t ha n -1 2 .5 0 % , t he Ba nk w ill pa y you le ss t ha n t he full princ ipa l a m ount ,
re sult ing in a pe rc e nt a ge loss on your inve st m e nt t ha t is e qua l t o t he buffe r ra t e multiplied by t he ne ga t ive pe rc e nt a ge
c ha nge in e x c e ss of t he buffe r pe rc e nt a ge . Y ou m a y lose up t o 1 0 0 % of your princ ipa l a m ount .
P-13
Any payment on the notes, including any repayment of principal, is subject to the creditworthiness of the Bank. If the Bank were to default on its payment
obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment.
The payments at maturity shown above are entirely hypothetical; they are based on hypothetical levels of the reference asset that may not be achieved on the valuation
date and on assumptions that may prove to be erroneous. The actual market value of your notes on the maturity date or at any other time, including any time you may
wish to sell your notes, may bear little relation to the hypothetical payments at maturity shown above, and these amounts should not be viewed as an indication of the
financial return on an investment in the offered notes. The hypothetical payments at maturity on the notes held to the maturity date in the examples above assume you
purchased your notes at their principal amount and have not been adjusted to reflect the actual original issue price you pay for your notes. The return on your investment
(whether positive or negative) in your notes will be affected by the amount you pay for your notes. If you purchase your notes for a price other than the principal amount,
the return on your investment will differ from, and may be significantly lower than, the hypothetical returns suggested by the above examples. Please read "Additional
Risks--The price at which the notes may be sold prior to maturity will depend on a number of factors and may be substantially less than the amount for which they were
originally purchased" on page P-19 of this pricing supplement.
Payments on the notes are economically equivalent to the amounts that would be paid on a combination of other instruments. For example, payments on the notes are
economically equivalent to a combination of a non- interest-bearing bond bought by the holder and one or more options entered into between the holder and us (with one
or more implicit option premiums paid over time). The discussion in this paragraph does not modify or affect the terms of the notes or the U.S. federal income tax
treatment of the notes, as described elsewhere in this pricing supplement.
We cannot predict the actual final level or what the market value of your notes will be on any particular trading day, nor can we predict the relationship between the
level of the reference asset and the market value of your notes at any time prior to the maturity date. The actual amount that you will receive, if any, at maturity and the
rate of return on the offered notes will depend on the actual final level, which will be determined by the calculation agent as described above. Moreover, the
assumptions on which the hypothetical returns are based may turn out to be inaccurate. Consequently, the amount of cash to be paid in respect of your notes, if any,
on the maturity date may be very different from the information reflected in the examples above.
P-14
ADDI T I ON AL RI SK S
An investment in the notes involves significant risks. In addition to the following risks included in this pricing supplement, we urge you to read "Additional Risk Factors
Specific to the Notes" beginning on page PS-6 of the accompanying product prospectus supplement and "Risk Factors" beginning on page S-2 of the accompanying
prospectus supplement and page 5 of the accompanying prospectus.
You should understand the risks of investing in the notes and should reach an investment decision only after careful consideration, with your advisors, of the suitability of
the notes in light of your particular financial circumstances and the information set forth in this pricing supplement and the accompanying prospectus, accompanying
prospectus supplement and accompanying product prospectus supplement.
T he Ba nk 's init ia l e st im a t e d va lue of t he not e s a t t he t im e of pric ing (w he n t he t e rm s of your not e s w e re se t on t he t ra de da t e ) is low e r
t ha n t he origina l issue pric e of t he not e s
The Bank's initial estimated value of the notes is only an estimate. The original issue price of the notes exceeds the Bank's initial estimated value. The difference between
the original issue price of the notes and the Bank's initial estimated value reflects costs associated with selling and structuring the notes, as well as hedging its obligations
under the notes with a third party.
N e it he r t he Ba nk 's nor SCU SA's e st im a t e d va lue of t he not e s a t a ny t im e is de t e rm ine d by re fe re nc e t o c re dit spre a ds or t he borrow ing ra t e
t he Ba nk w ould pa y for it s c onve nt iona l fix e d -ra t e de bt se c urit ie s
The Bank's initial estimated value of the notes and SCUSA's estimated value of the notes at any time are determined by reference to the Bank's internal funding rate.
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The internal funding rate used in the determination of the estimated value of the notes generally represents a discount from the credit spreads for the Bank's conventional
fixed-rate debt securities and the borrowing rate the Bank would pay for its conventional fixed-rate debt securities. This discount is based on, among other things, the
Bank's view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison to those costs
for the Bank's conventional fixed-rate debt. If the interest rate implied by the credit spreads for the Bank's conventional fixed-rate debt securities, or the borrowing rate
the Bank would pay for its conventional fixed-rate debt securities were to be used, the Bank would expect the economic terms of the notes to be more favorable to you.
Consequently, the use of an internal funding rate for the notes increases the estimated value of the notes at any time and has an adverse effect on the economic terms of
the notes.
T he Ba nk 's init ia l e st im a t e d va lue of t he not e s doe s not re pre se nt fut ure va lue s of t he not e s a nd m a y diffe r from ot he rs' (inc luding SCU SA's)
e st im a t e s
The Bank's initial estimated value of the notes was determined by reference to its internal pricing models when the terms of the notes were set. These pricing models
consider certain factors, such as the Bank's internal funding rate on the trade date, the expected term of the notes, market conditions and other relevant factors existing at
that time, and the Bank's assumptions about market parameters, which can include volatility, dividend rates, interest rates and other factors. Different pricing models and
assumptions (including the pricing models and assumptions used by SCUSA) could provide valuations for the notes that are different, and perhaps materially lower, from
the Bank's initial estimated value. Therefore, the price at which SCUSA would buy or sell your notes (if SCUSA makes a market, which it is not obligated to do) may be
materially lower than the Bank's initial estimated value. In addition, market conditions and other relevant factors in the future may change, and any assumptions may
prove to be incorrect.
T he pric e a t w hic h SCU SA w ould buy or se ll your not e s (if SCU SA m a k e s a m a rk e t , w hic h it is not obliga t e d t o do) w ill be ba se d on SCU SA's
e st im a t e d va lue of your not e s
SCUSA's estimated value of the notes is determined by reference to its pricing models and takes into account the Bank's internal funding rate. The price at which SCUSA
would initially buy or sell your notes in the secondary market (if SCUSA makes a market, which it is not obligated to do) exceeds SCUSA's estimated value of your notes
at the time of pricing. As agreed by SCUSA and the distribution participants, this excess (i.e., the additional amount described under "Additional Information Regarding
Estimated Value of the Notes" above) will decline to zero on a straight line basis over the period from the trade date through the applicable date set forth under
"Additional Information Regarding Estimated Value of the Notes" above. Thereafter, if SCUSA buys or sells your notes it will do so at prices that reflect the estimated
value determined by reference to SCUSA's pricing models at that time. The price at which SCUSA will buy or sell your notes at any time also will reflect its then current
bid and ask spread for similar sized trades of structured notes. If SCUSA calculated its estimated value
P-15
of your notes by reference to the Bank's credit spreads or the borrowing rate the Bank would pay for its conventional fixed-rate debt securities (as opposed to the Bank's
internal funding rate), the price at which SCUSA would buy or sell your notes (if SCUSA makes a market, which it is not obligated to do) could be significantly lower.
SCUSA's pricing models consider certain variables, including principally the Bank's internal funding rate, 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. As a result, the actual value you would receive if you sold your notes in the secondary market, if any, to others may differ, perhaps materially,
from the estimated value of your notes determined by reference to SCUSA's models, taking into account the Bank's internal funding rate, due to, among other things, any
differences in pricing models or assumptions used by others. See "The price at which the notes may be sold prior to maturity will depend on a number of factors and may
be substantially less than the amount for which they were originally purchased" below.
In addition to the factors discussed above, the value and quoted price of your notes at any time will reflect many factors and cannot be predicted. If SCUSA makes a
market in the notes, the price quoted by SCUSA would reflect any changes in market conditions and other relevant factors, including any deterioration in the Bank's
creditworthiness or perceived creditworthiness. These changes may adversely affect the value of your notes, including the price you may receive for your notes in any
market making transaction. To the extent that SCUSA makes a market in the notes, the quoted price will reflect the estimated value determined by reference to SCUSA's
pricing models at that time, plus or minus SCUSA's then current bid and ask spread for similar sized trades of structured notes (and subject to the declining excess
amount described above).
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. This
commission or discount will further reduce the proceeds you would receive for your notes in a secondary market sale.
There is no assurance that SCUSA or any other party will be willing to purchase your notes at any price and, in this regard, SCUSA is not obligated to make a market in
the notes. See "The notes lack liquidity" below.
Risk of loss a t m a t urit y
You may lose your entire investment in the notes. Any payment on the notes at maturity depends on the percentage change of the reference asset. The Bank will only
repay you the full principal amount of your notes if the percentage change is equal to or greater than -12.50%. If the percentage change is less than -12.50%, you will
have a loss for each $1,000 principal amount of your notes equal to the product of (i) the buffer rate times (ii) the sum of the percentage change plus the buffer
percentage times (iii) $1,000. Ac c ordingly, you m a y lose your e nt ire inve st m e nt in t he not e s if t he pe rc e nt a ge de c line from t he init ia l le ve l t o t he
fina l le ve l is gre a t e r t ha n 1 2 .5 0 % .
T he dow nside m a rk e t e x posure t o t he re fe re nc e a sse t is buffe re d only a t m a t urit y
You should be willing to hold your notes to maturity. If you are able to sell your notes prior to maturity in the secondary market, you may have to sell them at a loss
relative to your initial investment even if the level of the reference asset at such time is equal to or greater than the buffer level.
Y our pot e nt ia l pa ym e nt a t m a t urit y is lim it e d by t he m a x im um pa ym e nt a m ount
The payment at maturity will not exceed the maximum payment amount. Therefore, if the appreciation of the level of the reference asset exceeds the cap on appreciation
in the maximum payment amount, the notes will provide less opportunity to participate in the appreciation of the reference asset than an investment in a security linked to
the level of the reference asset providing full participation in the appreciation. Accordingly, the return on the notes may be less than the return would be if you made an
investment in a security directly linked to the positive performance of the reference asset.
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