Bond ScotiaBank 0% ( US06417R8319 ) in USD

Issuer ScotiaBank
Market price 100 %  ⇌ 
Country  Canada
ISIN code  US06417R8319 ( in USD )
Interest rate 0%
Maturity 28/04/2022 - Bond has expired



Prospectus brochure of the bond Bank of Nova Scotia US06417R8319 in USD 0%, expired


Minimal amount 1 000 USD
Total amount 4 114 000 USD
Cusip 06417R831
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 US06417R8319, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Bond maturity is 28/04/2022







424B2 1 bn54962762-424b2.htm FORM 424B2


File d Pursua nt t o Rule 4 2 4 (b)(2 )
Re gist ra t ion St a t e m e nt N o. 3 3 3 -
2 2 8 6 1 4
(T o Prospe c t us da t e d De c e m be r 2 6 ,
2 0 1 8 ,
Prospe c t us Supple m e nt da t e d
De c e m be r 2 6 , 2 0 1 8 ,
a nd Produc t Prospe c t us Supple m e nt
EQU I T Y I N DI CES LI RN -1 da t e d
De c e m be r 2 6 , 2 0 1 8 )
411,404 Units
Pricing Date
April 23, 2020
$10 principal amount per unit
Settlement Date
April 30, 2020
CUSIP No. 06417R831
Maturity Date
April 28, 2022





Ca ppe d Le ve ra ge d I nde x Re t urn N ot e s® Link e d t o a n
I nt e rna t iona l Equit y I nde x Ba sk e t
? Maturity of approximately two years
? 2-to-1 upside exposure to increases in the Basket, subject to a capped return of 21.07%
? 1-to-1 downside exposure to decreases in the Basket beyond a 10.00% decline, with up to 90.00% of your principal at risk
? The Basket is comprised of the EURO STOXX 50® Index, the FTSE® 100 Index, the Nikkei Stock Average Index, the Swiss
Market Index®, the S&P/ASX 200 Index and the Hang Seng® Index. The EURO STOXX 50® Index was given an initial weight
of 40.00%, each of the FTSE® 100 Index and the Nikkei Stock Average Index was given an initial weight of 20.00%, each of
the Swiss Market Index® and the S&P/ASX 200 Index was given an initial weight of 7.50% and the Hang Seng® Index was
given an initial weight of 5.00%
? All payments occur at maturity and are subject to the credit risk of The Bank of Nova Scotia
? No periodic interest payments
? In addition to the underwriting discount set forth below, the notes include a hedging-related charge of $0.075 per unit. See
"Structuring the Notes"
? Limited secondary market liquidity, with no exchange listing
? The notes are unsecured debt securities and are not savings accounts or insured deposits of a bank. The notes are not insured
or guaranteed by the Canada Deposit Insurance Corporation (the "CDIC"), the U.S. Federal Deposit Insurance Corporation (the
"FDIC"), or any other governmental agency of Canada, the United States or any other jurisdiction

T he not e s a re be ing issue d by T he Ba nk of N ova Sc ot ia ("BN S"). T he re a re im port a nt diffe re nc e s be t w e e n
t he not e s a nd a c onve nt iona l de bt se c urit y, inc luding diffe re nt inve st m e nt risk s a nd c e rt a in a ddit iona l
c ost s. Se e "Risk Fa c t ors" be ginning on pa ge T S-6 of t his t e rm she e t , "Addit iona l Risk Fa c t ors" on pa ge T S-7
of t his t e rm she e t a nd be ginning on pa ge PS-6 of produc t prospe c t us supple m e nt EQU I T Y I N DI CES LI RN -1 .
T he init ia l e st im a t e d va lue of t he not e s a s of t he pric ing da t e is $ 9 .6 3 pe r unit , w hic h is le ss t ha n t he public
offe ring pric e list e d be low . See "Summary" on the following page, "Risk Factors" beginning on page TS-6 of this term sheet
and "Structuring the Notes" on page TS-28 of this term sheet for additional information. The actual value of your notes at any time
will reflect many factors and cannot be predicted with accuracy.
_________________________
None of the U.S. Securities and Exchange Commission (the "SEC"), any state securities commission, or any other regulatory body
has approved or disapproved of these securities or determined if this Note Prospectus (as defined below) is truthful or complete.
Any representation to the contrary is a criminal offense.
_________________________

Per Unit
Total
Public offering price
$10.00
$4,114,040.00

Underwriting discount
$0.20
$82,280.80

Proceeds, before expenses, to
$9.80
$4,031,759.20
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BNS
T he not e s:
Are N ot FDI C I nsure d
Are N ot Ba nk
M a y Lose V a lue
Gua ra nt e e d
BofA Se c urit ie s
April 23, 2020

Capped Leveraged Index Return Notes®
Linked to an International Equity Index Basket, due April 28, 2022
Summary
The Capped Leveraged Index Return Notes® Linked to an International Equity Index Basket, due April 28, 2022 (the "notes") are
our senior unsecured debt securities. The notes are not guaranteed or insured by the CDIC or the FDIC, and are not, either directly
or indirectly, an obligation of any third party. The notes are not bail-inable debt securities (as defined in the prospectus). T he
not e s w ill ra nk e qua lly w it h a ll of our ot he r unse c ure d se nior de bt . Any pa ym e nt s due on t he not e s,
inc luding a ny re pa ym e nt of princ ipa l, w ill be subje c t t o t he c re dit risk of BN S. The notes provide you a leveraged
return, subject to a cap, if the Ending Value of the Market Measure, which is the international equity index basket described below
(the "Basket"), is greater than the Starting Value (as determined below). If the Ending Value is equal to or less than the Starting
Value but greater than or equal to the Threshold Value, you will receive the principal amount of your notes. If the Ending Value is
less than the Threshold Value, you will lose a portion, which could be significant, of the principal amount of your notes. Any
payments on the notes will be calculated based on the $10 principal amount per unit and will depend on the performance of the
Basket, subject to our credit risk. See "Terms of the Notes" below.
The Basket is comprised of the EURO STOXX 50® Index, the FTSE® 100 Index, the Nikkei Stock Average Index, the Swiss
Market Index®, the S&P/ASX 200 Index and the Hang Seng® Index (each a "Basket Component"). On the pricing date, the EURO
STOXX 50® Index was given an initial weight of 40.00%, each of the FTSE® 100 Index and the Nikkei Stock Average Index was
given an initial weight of 20.00%, each of the Swiss Market Index® and the S&P/ASX 200 Index was given an initial weight of
7.50% and the Hang Seng® Index was given an initial weight of 5.00%.
The economic terms of the notes (including the Capped Value and Threshold Value) are based on our internal funding rate, which
is the rate we would pay to borrow funds through the issuance of market-linked notes, and the economic terms of certain related
hedging arrangements. Our internal funding rate is typically lower than the rate we would pay when we issue conventional fixed
rate debt securities. This difference in funding rate, as well as the underwriting discount and the hedging related charge described
below, reduced the economic terms of the notes to you and the initial estimated value of the notes on the pricing date. Due to
these factors, the public offering price you pay to purchase the notes is greater than the initial estimated value of the notes.
On the cover page of this term sheet, we have provided the initial estimated value for the notes. This estimated value was
determined by reference to our internal pricing models, which take into consideration certain factors, such as our internal funding
rate on the pricing date and our assumptions about market parameters. For more information about the initial estimated value and
the structuring of the notes, see "Structuring the Notes" on page TS-28.
Terms of the Notes
Redemption Amount
Determination
I ssue r:
The Bank of Nova Scotia ("BNS")
On the maturity date, you will receive a cash payment
per unit determined as follows:
Princ ipa l
$10.00 per unit

Am ount :
T e rm :
Approximately two years
M a rk e t
An international equity index basket comprised of the
M e a sure :
EURO STOXX 50® Index (Bloomberg symbol:
"SX5E"), the FTSE® 100 Index (Bloomberg symbol:
"UKX"), the Nikkei Stock Average Index (Bloomberg
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symbol: "NKY"), the Swiss Market Index® (Bloomberg
symbol: "SMI"), the S&P/ASX 200 Index (Bloomberg
symbol: "AS51") and the Hang Seng® Index
(Bloomberg symbol: "HSI"). Each Basket Component
is a price return index.
St a rt ing V a lue : 100.00
Ending V a lue : The average of the closing levels of the Market
Measure on each calculation day occurring during the
Maturity Valuation Period. The scheduled calculation
days are subject to postponement in the event of
Market Disruption Events, as described beginning on
page PS-19 of product prospectus supplement
EQUITY INDICES LIRN-1.
T hre shold
90.00 (90.00% of the Starting Value).
V a lue :

Pa rt ic ipa t ion
200.00%
Ra t e :
Ca ppe d V a lue : $12.107 per unit, which represents a return of 21.07%
over the principal amount.
M a t urit y
April 14, 2022, April 15, 2022, April 20, 2022, April
V a lua t ion
21, 2022 and April 22, 2022
Pe riod:
Fe e s a nd
The underwriting discount of $0.20 per unit listed on
Cha rge s:
the cover page and the hedging related charge of
$0.075 per unit described in "Structuring the Notes"
on page TS-28.
Ca lc ula t ion
BofA Securities, Inc. ("BofAS").
Age nt :
Capped Leveraged Index Return Notes®
TS-2

Capped Leveraged Index Return Notes®
Linked to an International Equity Index Basket, due April 28, 2022
The terms and risks of the notes are contained in this term sheet and in the following:
?
Product prospectus supplement EQUITY INDICES LIRN-1 dated December 26, 2018:
https://www.sec.gov/Archives/edgar/data/9631/000091412118002477/bn50676782-424b2.htm
?
Prospectus supplement dated December 26, 2018:
https://www.sec.gov/Archives/edgar/data/9631/000091412118002473/bn50676984-424b3.htm
?
Prospectus dated December 26, 2018:
https://www.sec.gov/Archives/edgar/data/9631/000119312518357537/d677731d424b3.htm
As a result of the completion of the reorganization of Bank of America's U.S. broker-dealer business, references to Merrill Lynch,
Pierce, Fenner & Smith Incorporated ("MLPF&S") in the accompanying product prospectus supplement EQUITY INDICES LIRN-1,
as such references relate to MLPF&S's institutional services, should be read as references to BofAS.
These documents (together, the "Note Prospectus") have been filed as part of a registration statement with the SEC, which may,
without cost, be accessed on the SEC website as indicated above or obtained from MLPF&S or BofAS by calling 1-800-294-1322.
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Before you invest, you should read the Note Prospectus, including this term sheet, for information about us and this offering. Any
prior or contemporaneous oral statements and any other written materials you may have received are superseded by the Note
Prospectus. Capitalized terms used but not defined in this term sheet have the meanings set forth in product prospectus
supplement EQUITY INDICES LIRN-1. Unless otherwise indicated or unless the context requires otherwise, all references in this
document to "we," "us," "our," or similar references are to BNS.
Investor Considerations

Y ou m a y w ish t o c onside r a n inve st m e nt in t he
T he not e s m a y not be a n a ppropria t e inve st m e nt for
not e s if:
you if:
? You anticipate that the Basket will increase moderately
You believe that the Basket will decrease from the Starting

?
from the Starting Value to the Ending Value.
Value to the Ending Value or that it will not increase
?
You are willing to risk a substantial loss of principal if the
sufficiently over the term of the notes to provide you with
Basket decreases from the Starting Value to an Ending
your desired return.
Value that is below the Threshold Value.
You seek 100% principal repayment or preservation of

?
?
You accept that the return on the notes will be capped.
capital.
?
You are willing to forgo the interest payments that are paid
?
You seek an uncapped return on your investment.

on conventional interest bearing debt securities.
?
You seek interest payments or other current income on

?
You are willing to forgo dividends or other benefits of
your investment.
owning the stocks included in the Basket Components.
You want to receive dividends or other distributions paid

?
?
You are willing to accept a limited or no market for sales
on the stocks included in the Basket Components.
prior to maturity, and understand that the market prices
?
You seek an investment for which there will be a liquid

for the notes, if any, will be affected by various factors,
secondary market.
including our actual and perceived creditworthiness, our
You are unwilling or are unable to take market risk on the

?
internal funding rate and fees and charges on the notes.
notes or to take our credit risk as issuer of the notes.
?
You are willing to assume our credit risk, as issuer of the
notes, for all payments under the notes, including the
Redemption Amount.
We urge you to consult your investment, legal, tax, accounting, and other advisors before you invest in the notes.
Capped Leveraged Index Return Notes®
TS-3

Capped Leveraged Index Return Notes®
Linked to an International Equity Index Basket, due April 28, 2022
Hypothetical Payout Profile and Examples of Payments at Maturity
Ca ppe d Le ve ra ge d I nde x Re t urn N ot e s®
This graph reflects the returns on the notes, based on the
Participation Rate of 200.00%, the Threshold Value of 90.00% of
the Starting Value and the Capped Value of $12.107 per unit.
The green line reflects the returns on the notes, while the dotted
gray line reflects the returns of a direct investment in the stocks
included in the Basket Components, excluding dividends.
This graph has been prepared for purposes of illustration only.
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The following table and examples are for purposes of illustration only. They are based on hypot he t ic a l values and show
hypot he t ic a l returns on the notes. They illustrate the calculation of the Redemption Amount and total rate of return based on the
Starting Value of 100.00, the Participation Rate of 200.00%, the Threshold Value of 90.00, the Capped Value of $12.107 per unit
and a range of hypothetical Ending Values. T he a c t ua l a m ount you re c e ive a nd t he re sult ing t ot a l ra t e of re t urn w ill
de pe nd on t he a c t ua l Ending V a lue a nd w he t he r you hold t he not e s t o m a t urit y. The following examples do not
take into account any tax consequences from investing in the notes.
For recent hypot he t ic a l levels of the Basket, see "The Basket" section below. For recent actual levels of the Basket
Components, see the "Basket Component" section below. Each Basket Component is a price return index and as such the Ending
Value will not include any income generated by dividends paid on the stocks included in any of the Basket Components, which you
would otherwise be entitled to receive if you invested in those stocks directly. In addition, all payments on the notes are subject to
issuer credit risk.
Pe rc e nt a ge Cha nge from
t he St a rt ing V a lue t o t he
Re de m pt ion Am ount pe r
T ot a l Ra t e of Re t urn on
Ending V a lue

Ending V a lue

U nit (1)

t he N ot e s
0.00

-100.00%

$1.000

-90.00%
50.00

-50.00%

$6.000

-40.00%
80.00

-20.00%

$9.000

-10.00%
90.00(1)

-10.00%

$10.000

0.00%
95.00

-5.00%

$10.000

0.00%
97.00

-3.00%

$10.000

0.00%
100.00(2)

0.00%

$10.000

0.00%
102.00

2.00%

$10.400

4.00%
105.00

5.00%

$11.000

10.00%
110.00

10.00%

$12.000

20.00%
110.54

10.54%

$12.107(3)

21.07%
120.00

20.00%

$12.107

21.07%
130.00

30.00%

$12.107

21.07%
140.00

40.00%

$12.107

21.07%
150.00

50.00%

$12.107

21.07%
160.00

60.00%

$12.107

21.07%
(1) This is the Threshold Value.
(2) The Starting Value was set to 100.00 on the pricing date.
(3) The Redemption Amount per unit cannot exceed the Capped Value.
Capped Leveraged Index Return Notes®
TS-4
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Capped Leveraged Index Return Notes®
Linked to an International Equity Index Basket, due April 28, 2022
Re de m pt ion Am ount Ca lc ula t ion Ex a m ple s
Ex a m ple 1
The Ending Value is 50.00, or 50.00% of the Starting Value:
Starting Value:
100.00
Threshold Value:
90.00
Ending Value:
50.00
Redemption Amount per unit

Ex a m ple 2
The Ending Value is 95.00, or 95.00% of the Starting Value:
Starting Value:
100.00
Threshold Value:
90.00
Ending Value:
95.00
Redemption Amount (per unit) = $ 1 0 .0 0 , the principal amount, since the Ending Value is less than the Starting Value but equal to
or greater than the Threshold Value.

Ex a m ple 3
The Ending Value is 105.00, or 105.00% of the Starting Value:
Starting Value:
100.00
Ending Value:
105.00
Redemption Amount per unit

Ex a m ple 4
The Ending Value is 160.00, or 160.00% of the Starting Value:
Starting Value:
100.00
Ending Value:
160.00
how e ve r, be c a use t he Re de m pt ion Am ount for t he not e s c a nnot
e x c e e d t he Ca ppe d V a lue , t he Re de m pt ion Am ount w ill be
$ 1 2 .1 0 7 pe r unit
Capped Leveraged Index Return Notes®
TS-5

Capped Leveraged Index Return Notes®
Linked to an International Equity Index Basket, due April 28, 2022
Risk Factors
There are important differences between the notes and a conventional debt security. An investment in the notes involves significant
risks, including those listed below. You should carefully review the more detailed explanation of risks relating to the notes in the
"Risk Factors" sections beginning on page PS-6 of product prospectus supplement EQUITY INDICES LIRN-1, page S-2 of the
prospectus supplement, and page 5 of the prospectus identified above. We also urge you to consult your investment, legal, tax,
accounting, and other advisors before you invest in the notes.
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?
Depending on the performance of the Basket as measured shortly before the maturity date, your investment may result in a
loss; there is no guaranteed return of principal.
?
Your return on the notes may be less than the yield you could earn by owning a conventional fixed or floating rate debt
security of comparable maturity.
?
Payments on the notes are subject to our credit risk, and actual or perceived changes in our creditworthiness are expected
to affect the value of the notes. If we become insolvent or are unable to pay our obligations, you may lose your entire
investment.
?
Your investment return is limited to the return represented by the Capped Value and may be less than a comparable
investment directly in the stocks included in the Basket Components.
?
Our initial estimated value of the notes is lower than the public offering price of the notes. Our initial estimated value of the
notes is only an estimate. The public offering price of the notes exceeds our initial estimated value because it includes
costs associated with selling and structuring the notes, as well as hedging our obligations under the notes with a third
party, which may include BofAS or one of its affiliates. These costs include the underwriting discount and an expected
hedging related charge, as further described in "Structuring the Notes" on page TS-28.
?
Our initial estimated value of the notes does not represent future values of the notes and may differ from others' estimates.
Our initial estimated value of the notes is determined by reference to our internal pricing models when the terms of the
notes are set. These pricing models consider certain factors, such as our internal funding rate on the pricing date, the
expected term of the notes, market conditions and other relevant factors existing at that time, and our assumptions about
market parameters, which can include volatility, dividend rates, interest rates and other factors. Different pricing models
and assumptions could provide valuations for the notes that are different from our initial estimated value. In addition, market
conditions and other relevant factors in the future may change, and any of our assumptions may prove to be incorrect. On
future dates, the market value of the notes could change significantly based on, among other things, the performance of
the Basket, changes in market conditions, our creditworthiness, interest rate movements and other relevant factors. These
factors, together with various credit, market and economic factors over the term of the notes, are expected to reduce the
price at which you may be able to sell the notes in any secondary market and will affect the value of the notes in complex
and unpredictable ways. Our initial estimated value does not represent a minimum price at which we or any agents would
be willing to buy your notes in any secondary market (if any exists) at any time.
?
Our initial estimated value is not determined by reference to credit spreads or the borrowing rate we would pay for our
conventional fixed-rate debt securities. The internal funding rate used in the determination of our initial estimated value of
the notes generally represents a discount from the credit spreads for our conventional fixed-rate debt securities and the
borrowing rate we would pay for our conventional fixed-rate debt securities. If we were to use the interest rate implied by
the credit spreads for our conventional fixed-rate debt securities, or the borrowing rate we would pay for our conventional
fixed-rate debt securities, we would expect the economic terms of the notes to be more favorable to you. Consequently,
our use of an internal funding rate for the notes would have an adverse effect on the economic terms of the notes, the
initial estimated value of the notes on the pricing date, and the price at which you may be able to sell the notes in any
secondary market.
?
A trading market is not expected to develop for the notes. None of us, MLPF&S or BofAS is obligated to make a market
for, or to repurchase, the notes. There is no assurance that any party will be willing to purchase your notes at any price in
any secondary market.
?
Our business, hedging and trading activities, and those of MLPF&S, BofAS and our respective affiliates (including trades in
shares of companies included in the Basket Components), and any hedging and trading activities we, MLPF&S, BofAS or
our respective affiliates engage in for our clients' accounts, may affect the market value and return of the notes and may
create conflicts of interest with you.
?
Changes in the level of one of the Basket Components may be offset by changes in the levels of the other Basket
Components. Due to the different Initial Component Weights (as defined in "The Basket" section below), changes in the
levels of some Basket Components will have a more substantial impact on the value of the Basket than similar changes in
the levels of the other Basket Components.
?
An Index sponsor (as defined below) may adjust the relevant Basket Component in a way that may adversely affect its
level and your interests, and has no obligation to consider your interests.
?
You will have no rights of a holder of the securities included in the Basket Components or of a holder with a short position
directly in the Basket Components (or the securities included in the Basket Components), and you will not be entitled to
receive securities or dividends or other distributions by the issuers of the securities included in the Basket Components.
Capped Leveraged Index Return Notes®
TS-6
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Capped Leveraged Index Return Notes®
Linked to an International Equity Index Basket, due April 28, 2022
?
While we, MLPF&S, BofAS or our respective affiliates may from time to time own securities of companies included in the
Basket Components, we, MLPF&S, BofAS and our respective affiliates do not control any company included in the Basket
Components, and have not verified any disclosure made by any other company.
?
Your return on the notes may be affected by factors affecting the international securities markets, specifically changes in
the countries represented by the Basket Components. In addition, you will not obtain the benefit of any increase in the
value of the currencies in which the securities in the Basket Components trade against the U.S. dollar which you would
have received if you had owned the securities in the Basket Components during the term of your notes, although the value
of the Basket may be adversely affected by general exchange rate movements in the market.
?
There may be potential conflicts of interest involving the calculation agent, which is BofAS. We have the right to appoint
and remove the calculation agent.
?
The U.S. federal income tax consequences of the notes are uncertain, and may be adverse to a holder of the notes. See
"Summary of U.S. Federal Income Tax Consequences" below.
?
The conclusion that no portion of the interest paid or credited or deemed to be paid or credited on a note will be
"Participating Debt Interest" subject to Canadian withholding tax is based in part on the current published administrative
position of the CRA. There cannot be any assurance that CRA's current published administrative practice will not be
subject to change, including potential expansion in the current administrative interpretation of Participating Debt Interest
subject to Canadian withholding tax. If, at any time, the interest paid or credited or deemed to be paid or credited on a
note is subject to Canadian withholding tax, you will receive an amount that is less than the Redemption Amount. You
should consult your own adviser as to the potential for such withholding and the potential for reduction or refund of part or
all of such withholding, including under any bilateral Canadian tax treaty the benefits of which you may be entitled. For a
discussion of the Canadian federal income tax consequences of investing in the notes, see "Summary of Canadian Federal
Income Tax Consequences" below, "Canadian Taxation--Debt Securities" on page 62 of the prospectus dated December
26, 2018, and "Supplemental Discussion of Canadian Federal Income Tax Consequences" on page PS-27 of product
prospectus supplement EQUITY INDICES LIRN-1.
Additional Risk Factors
T he COV I D -1 9 virus m a y ha ve a n a dve rse im pa c t on BN S
On 11 March 2020, the World Health Organization declared the outbreak of a strain of novel coronavirus disease, COVID-19, a
global pandemic. Governments in affected areas have imposed a number of measures designed to contain the outbreak, including
business closures, travel restrictions, quarantines and cancellations of gatherings and events. The spread of COVID-19 has had
disruptive effects in countries in which BNS operates and the global economy more widely, as well as causing increased volatility
and declines in financial markets. If the pandemic is prolonged, or further diseases emerge that give rise to similar effects, the
adverse impact on the global economy could deepen and result in further declines in financial markets. A substantial amount of
BNS's business involves making loans or otherwise committing resources to specific companies, industries or countries. The
COVID-19 pandemic's impact on such borrowers, industries and countries could have a material adverse effect on BNS's financial
results, businesses, financial condition or liquidity. The COVID-19 pandemic may also result in disruption to BNS's key suppliers of
goods and services and result in increased unavailability of staff adversely impacting the quality and continuity of service to
customers and the reputation of BNS. As a result the business, results of operations, corporate reputation and financial condition of
BNS could be adversely impacted for a substantial period of time.
Other Terms of the Notes
M a rk e t M e a sure Busine ss Da y
The following definition shall supersede and replace the definition of a "Market Measure Business Day" set forth in product
prospectus supplement EQUITY INDICES LIRN-1:
A "Market Measure Business Day" means a day on which:
(A) each of the Eurex (as to the EURO STOXX 50® Index), the London Stock Exchange (as to the FTSE® 100 Index), the
https://www.sec.gov/Archives/edgar/data/9631/000091412120001599/bn54962762-424b2.htm[4/27/2020 4:18:59 PM]


Tokyo Stock Exchange (as to the Nikkei Stock Average Index), the SIX Swiss Exchange (as to the Swiss Market
Index®), the Australian Stock Exchange (as to the S&P/ASX 200 Index) and the Stock Exchange of Hong Kong (as to
the Hang Seng® Index) (or any successor to the foregoing exchanges) are open for trading; and
(B) the Basket Components or any successors thereto are calculated and published.
Capped Leveraged Index Return Notes®
TS-7

Capped Leveraged Index Return Notes®
Linked to an International Equity Index Basket, due April 28, 2022
The Basket
The Basket is designed to allow investors to participate in the percentage changes in the levels of the Basket Components from
the Starting Value to the Ending Value of the Basket. The Basket Components are described in the section "The Basket
Components" below. Each Basket Component was assigned an initial weight on the pricing date, as set forth in the table below.
For more information on the calculation of the value of the Basket, please see the section entitled "Description of the LIRNs--
Basket Market Measures" beginning on page PS-21 of product prospectus supplement EQUITY INDICES LIRN-1.
On the pricing date, for each Basket Component, the Initial Component Weight, the closing level, the Component Ratio and the
initial contribution to the Basket value were as follows:


I nit ia l



I nit ia l Ba sk e t
Bloom be rg
Com pone nt
Closing
Com pone nt
V a lue
Ba sk e t Com pone nt
Sym bol
We ight
Le ve l (1)
Ra t io(2)
Cont ribut ion
EURO STOXX 50®

SX5E

40.00%

2,852.46

0.01402298

40.00
Index
FTSE® 100 Index

UKX

20.00%

5,826.61

0.00343253

20.00
Nikkei Stock Average
NKY

20.00%

19,429.44

0.00102937

20.00
Index
Swiss Market Index®
SMI

7.50%

9,625.48

0.00077918

7.50
S&P/ASX 200 Index
AS51

7.50%

5,217.112

0.00143758

7.50
Hang Seng® Index

HSI

5.00%

23,977.32

0.00020853

5.00







St a rt ing V a lue
100.00
(1) These were the closing levels of the Basket Components on the pricing date.
(2) Each Component Ratio equals the Initial Component Weight of the relevant Basket Component (as a percentage)
multiplied by 100.00, and then divided by the closing level of that Basket Component on the pricing date and rounded to
eight decimal places.
The calculation agent will calculate the value of the Basket on each calculation day during the Maturity Valuation Period by
summing the products of the closing level for each Basket Component on such calculation day and the Component Ratio
applicable to such Basket Component. If a Market Disruption Event occurs as to any Basket Component on any scheduled
calculation day, the closing level of that Basket Component will be determined as more fully described beginning on page PS-23 of
product prospectus supplement EQUITY INDICES LIRN-1 in the section "Description of LIRNs--Ending Value of the Basket".
Capped Leveraged Index Return Notes®
TS-8

Capped Leveraged Index Return Notes®
Linked to an International Equity Index Basket, due April 28, 2022
While actual historical information on the Basket did not exist before the pricing date, the following graph sets forth the
https://www.sec.gov/Archives/edgar/data/9631/000091412120001599/bn54962762-424b2.htm[4/27/2020 4:18:59 PM]


hypothetical historical performance of the Basket from January 1, 2010 through April 23, 2020. The graph is based upon
actual daily historical levels of the Basket Components, hypothetical Component Ratios based on the closing levels of the
Basket Components as of December 31, 2009, and a Basket value of 100.00 as of that date. This hypothetical historical
data on the Basket is not necessarily indicative of the future performance of the Basket or what the value of the notes
may be. Any hypothetical historical upward or downward trend in the value of the Basket during any period set forth
below is not an indication that the value of the Basket is more or less likely to increase or decrease at any time over the
term of the notes.
H ypot he t ic a l H ist oric a l Pe rform a nc e of t he Ba sk e t
Capped Leveraged Index Return Notes®
TS-9

Capped Leveraged Index Return Notes®
Linked to an International Equity Index Basket, due April 28, 2022
The Basket Components
All disclosures contained in this term sheet regarding the Basket Components, including, without limitation, their make-up, method
of calculation, and changes in their components, have been derived from publicly available sources. The information reflects the
policies of, and is subject to change by each of STOXX Limited ("STOXX") with respect to the EURO STOXX 50® Index (the
"SX5E"), FTSE International Limited ("FTSE") with respect to the FTSE® 100 Index (the "UKX"), Nikkei Inc. ("Nikkei") with respect
to the Nikkei 225 Index (the "NKY"), S&P Dow Jones Indices LLC ("S&P"), a division of S&P Global, with respect to the S&P/ASX
200 Index (the "AS51"), the Geneva, Zurich, SIX Group Ltd., certain of its subsidiaries, and the Management Committee of the SIX
Swiss Exchange (the "SIX Exchange"), with respect to the Swiss Market Index® (the "SMI"), and Hang Seng Indexes Company
Limited ("HSIL") with respect to the Hang Seng® Index (the "HSI") (STOXX, FTSE, Nikkei, S&P, Six Exchange and HSIL together,
the "Index sponsors"). The Index sponsors have no obligation to continue to publish, and may discontinue or suspend the
publication of any Basket Component at any time. The consequences of any Index sponsor discontinuing publication of a Basket
Component are discussed in the section entitled "Description of LIRNs--Discontinuance of an Index" beginning on page PS-20 of
product prospectus supplement EQUITY INDICES LIRN-1. None of us, the calculation agent, MLPF&S or BofAS accepts any
responsibility for the calculation, maintenance or publication of any Basket Component or any successor index.
T he EU RO ST OX X 5 0 ® I nde x
The SX5E is a capitalization-weighted index of 50 European blue-chip stocks in 11 Eurozone countries. Publication of the SX5E
began on February 26, 1998, based on an initial index value of 1,000 at December 31, 1991. The level of the SX5E is
disseminated on, and additional information about the SX5E is published on, the STOXX website. Information contained in the
STOXX website is not incorporated by reference in, and should not be considered a part of, this term sheet.
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