Bond UBSL 0% ( US90270K4C02 ) in USD

Issuer UBSL
Market price 100 %  ▼ 
Country  Switzerland
ISIN code  US90270K4C02 ( in USD )
Interest rate 0%
Maturity 05/05/2022 - Bond has expired



Prospectus brochure of the bond UBS (London Branch) US90270K4C02 in USD 0%, expired


Minimal amount 1 000 USD
Total amount 5 685 000 USD
Cusip 90270K4C0
Standard & Poor's ( S&P ) rating N/A
Moody's rating N/A
Detailed description UBS London Branch operates as a significant subsidiary of UBS Group AG, providing a wide range of investment banking, wealth management, and asset management services to clients in the UK and internationally.

The Bond issued by UBSL ( Switzerland ) , in USD, with the ISIN code US90270K4C02, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Bond maturity is 05/05/2022







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424B2 1 ub54690271-424b2.htm FORM 424B2
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-225551

UBS AG
$5,685,000

Capped Leveraged Buffered S&P 500® Index-Linked Medium-Term Notes
due May 5, 2022
The notes do not bear interest. The amount that you will be paid on your notes on the stated maturity date (May 5, 2022) is based on
the performance of the S&P 500® Index as measured from the trade date (February 7, 2020) to and including the determination date
(May 3, 2022). If the final underlier level on the determination date is greater than the initial underlier level of 3,327.71, the return on your
notes will be positive, subject to the maximum settlement amount of $1,231.70 for each $1,000 face amount of your notes. If the final
underlier level declines by up to 12.50% from the initial underlier level, you will receive the face amount of your notes. If the final
underlier level declines by more than 12.50% from the initial underlier level, the return on your notes will be negative.
Specifically, you will lose approximately 1.1429% for every 1% negative underlier return below the buffer level of 87.50% of the
initial underlier level. You could lose your entire investment in the notes.
To determine your cash settlement amount, we will calculate the underlier return, which is the percentage increase or decrease in the
final underlier level from the initial underlier level. On the stated maturity date, for each $1,000 face amount of your notes, you will
receive an amount in cash equal to:
·
if the underlier return is positive (the final underlier level is greater than the initial underlier level), the sum of (i) $1,000 plus (ii) the
product of (a) $1,000 times (b) the upside participation rate of 140.00% times (c) the underlier return, subject to the maximum
settlement amount;
·
if the underlier return is zero or negative but not below -12.50% (the final underlier level is equal to or less than the initial underlier
level but not by more than 12.50%), $1,000; or
·
if the underlier return is negative and is below -12.50% (the final underlier level is less than the initial underlier level by more than
12.50%), the sum of (i) $1,000 plus (ii) the product of (a) approximately 114.29% times (b) the sum of the underlier return plus
12.50% times (c) $1,000.
Your investment in the notes involves certain risks, including, among other things, our credit risk. See "Additional Risk
Factors Specific To Your Notes" beginning on page 10 of this pricing supplement. You should read the additional disclosure herein
so that you may better understand the terms and risks of your investment.
The estimated initial value of the notes as of the trade date is $997.10 per $1,000 face amount. The estimated initial value of the
notes was determined as of the close of the relevant markets on the date hereof by reference to UBS' internal pricing models,
inclusive of the internal funding rate. For more information about secondary market offers and the estimated initial value of the
notes, see "Additional Risk Factors Specific To Your Notes -- Fair Value Considerations" and "Additional Risk Factors
Specific To Your Notes -- Limited or No Secondary Market and Secondary Market Price Considerations" beginning on page 11
of this pricing supplement.
Original issue date:

February 14, 2020 Original issue price:

100.00% of the face amount
Underwriting discount:
0.00% of the face amount Net proceeds to the issuer:
100.00% of the face amount
Neither the Securities and Exchange Commission nor any other regulatory body has approved or disapproved of these notes
or passed upon the accuracy or adequacy of this pricing supplement, the accompanying product supplement, the
accompanying index supplement or the accompanying prospectus. Any representation to the contrary is a criminal offense.
The notes are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental
agency.
UBS Securities LLC
Pricing Supplement dated February 7, 2020

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 the notes will depend in part on the issue price
you pay for such notes.
UBS Securities LLC, our affiliate, will purchase the notes from UBS for distribution to one or more registered broker dealers ("dealers").
UBS Securities LLC, the dealers or any of their respective affiliates may use this pricing supplement in market-making transactions in
notes after their initial sale. Unless UBS, UBS Securities LLC, the dealers or any of their respective affiliates 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); secondary markets (if any)" in this pricing supplement and
"Supplemental Plan of Distribution (Conflicts of Interest)" in the accompanying product supplement.


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SUMMARY INFORMATION
UBS has filed a registration statement (including a prospectus, as supplemented by a product supplement for the notes and an index
supplement for various securities we may offer, including the notes), with the Securities and Exchange Commission, or SEC, for the
offering to which this pricing supplement relates. Before you invest, you should read these documents and any other documents
relating to this offering that UBS has filed with the SEC for more complete information about UBS and this offering. You may obtain
these documents without cost by visiting EDGAR on the SEC website at www.sec.gov. Our Central Index Key, or CIK, on the SEC
website is 0001114446.
You may access these documents on the SEC website at www.sec.gov as follows:
· Underlier-Linked Notes product supplement dated November 1, 2018:
http://www.sec.gov/Archives/edgar/data/1114446/000091412118002089/ub46174527-424b2.htm
· Index Supplement dated October 31, 2018:
http://www.sec.gov/Archives/edgar/data/1114446/000091412118002083/ub46174419-424b2.htm
· Prospectus dated October 31, 2018:
http://www.sec.gov/Archives/edgar/data/1114446/000119312518314003/d612032d424b3.htm
References to "UBS," "we," "our" and "us" refer only to UBS AG and not to its consolidated subsidiaries. In this pricing supplement,
"notes" refer to the Capped Leveraged Buffered S&P 500® Index-Linked Medium-Term Notes that are offered hereby, unless the
context otherwise requires. Also, references to the "accompanying product supplement" mean the UBS Underlier-Linked Notes
product supplement, dated November 1, 2018, references to the "accompanying index supplement" mean the UBS index supplement
dated October 31, 2018 and references to the "accompanying prospectus" mean the UBS prospectus titled "Debt Securities and
Warrants," dated October 31, 2018.
This pricing supplement, together with the documents listed above, contains the terms of the notes and supersedes all other 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 Your Notes" beginning on
page 10 and in "Risk Factors" on page PS-31 in the accompanying product supplement, as the notes involve risks not associated with
conventional debt securities. We urge you to consult your investment, legal, tax and other advisors before deciding to invest in the
notes.
UBS reserves the right to change the terms of, or reject any offer to purchase, the notes prior to their issuance. In the event of any
changes to the terms of the notes, UBS will notify you and you will be asked to accept such changes in connection with your purchase.
You may also choose to reject such changes in which case UBS may reject your offer to purchase.

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INVESTOR SUITABILITY
The notes may be suitable for you if:
¨
You fully understand the risks inherent in an investment in the notes, including the risk of loss of your entire initial investment.
¨
You can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that may have the full
downside market risk of an investment in the stocks comprising the underlier (the "underlier stocks"), subject to the buffer level.
¨
You believe that the level of the underlier will appreciate over the term of the notes and that the final underlier level is unlikely to
exceed the cap level, which is 116.55% of the initial underlier level.
¨
You understand and accept that your return on the notes is limited by the maximum settlement amount and you are willing to invest
in the notes based on the maximum settlement amount of $1,231.70 for each $1,000.00 face amount of your notes.
¨
You can tolerate fluctuations in the price of the notes throughout their term that may be similar to or exceed the downside
fluctuations in the level of the underlier or the price of the underlier stocks.
¨
You do not seek guaranteed current income from your investment and are willing to forgo any dividends paid on the underlier
stocks.
¨
You are willing to hold the notes to maturity, a term of approximately 26.5 months, and accept that there may be little or no
secondary market for the notes.
¨
You are willing to assume the credit risk of UBS for all payments under the notes, and understand that if UBS defaults on its
obligations you may not receive any amounts due to you including any repayment of principal.
¨
You understand that the estimated initial value of the notes determined by our internal pricing models is lower than the issue price
and that should UBS Securities LLC or any affiliate make secondary markets for the notes, the price (not including their customary
bid-ask spreads) will temporarily exceed the internal pricing model price.
The notes may not be suitable for you if:
¨
You do not fully understand the risks inherent in an investment in the notes, including the risk of loss of your entire 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 investment or are not willing to make an investment that may have
the full downside market risk of an investment in the underlier or the underlier stocks, subject to the buffer level.
¨
You believe that the level of the underlier will decline during the term of the notes and the final underlier level will likely be less than
the initial underlier level by more than 12.50%, or you believe that the level of the underlier will appreciate over the term of the notes
and that the final underlier level is likely to exceed the cap level, which is 116.55% of the initial underlier level.
¨
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 settlement amount of $1,231.70 for each $1,000.00 face amount of your notes.
¨
You cannot tolerate fluctuations in the price of the notes throughout their term that may be similar to or exceed the downside
fluctuations in the level of the underlier or the price of the underlier stocks.

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¨
You seek guaranteed current income from this investment or prefer to receive the dividends paid on the underlier stocks.
¨
You are unable or unwilling to hold the notes to maturity, a term of approximately 26.5 months, or you seek an investment for which
there will be an active secondary market.
¨
You are not willing to assume the credit risk of UBS for all payments under the notes.
The investor suitability considerations identified above are not exhaustive. Whether or not the notes are a suitable investment for you will
depend on your individual circumstances and you should reach an investment decision only after you and your investment, legal, tax,
accounting and other advisors have carefully considered the suitability of an investment in the notes in light of your particular
circumstances. You should also review "Additional Risk Factors Specific To Your Notes" in this pricing supplement and the more detailed
"Risk Factors" in the accompanying product supplement for risks related to an investment in the notes.

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KEY TERMS
Issuer: UBS AG London Branch
Underlier: S&P 500® Index (Bloomberg symbol, "SPX" <Index>), as maintained by S&P Dow Jones Indices LLC ("S&P" or the
"underlier sponsor")
Specified currency: U.S. dollars ("$")
Terms to be specified in accordance with the accompanying product supplement:
·
type of notes: notes linked to a single underlier
·
averaging dates: not applicable
·
cap level: yes, as described below
·
buffer level: yes, as described below
·
interest: not applicable
Face amount: Each note will have a face amount of $1,000; $5,685,000 in the aggregate for all the offered notes; the aggregate face
amount of the offered notes may be increased if the issuer, at its sole option, decides to sell an additional aggregate face amount of the
notes subsequent to the date of this pricing supplement. The issue price, underwriting discount, and net proceeds of the notes in the
subsequent sale may differ substantially (higher or lower) from the original issue price you paid as provided on the cover of this pricing
supplement. The return (whether positive or negative) on your investment in the notes will depend in part on the issue price you pay for
such notes.
Purchase at amount other than face amount: The amount we will pay you at the stated maturity date for your notes will not be
adjusted based on the issue price you pay for your notes, so if you acquire notes at a premium (or discount) to face amount and hold
them to the stated 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 face 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 face amount. Additionally, the
cap level would be triggered at a lower (or higher) percentage return than indicated below, relative to your initial investment. See
"Additional Risk Factors Specific To Your Notes -- If You Purchase Your Notes at a Premium to Face Amount, the Return on Your
Investment Will Be Lower Than the Return on Notes Purchased at Face Amount and the Impact of Certain Key Terms of the Notes Will
be Negatively Affected" in this pricing supplement.
Supplemental discussion of U.S. federal income tax consequences: You will be obligated pursuant to the terms of the notes -- in
the absence of a statutory or regulatory change or an administrative determination or a judicial ruling to the contrary -- to characterize
each note for all tax purposes as a prepaid derivative contract in respect of the underlier, as described under "Material U.S. Federal
Income Tax Consequences" in the accompanying product supplement. Pursuant to this approach, based on certain factual
representations received from us, our counsel, Cadwalader, Wickersham & Taft LLP, is of the opinion that upon the taxable disposition of
your notes, it would be reasonable for you to recognize capital gain or loss equal to the difference, if any, between the amount of cash
you receive at such time and your tax basis in your notes. The Internal Revenue Service (the "IRS") might not agree with this treatment,
however, in which case, the timing and character of income or loss on your note could be materially and adversely affected.
A 30% withholding tax (which may be reduced by an applicable income tax treaty) is imposed under Section 871(m) of the Internal
Revenue Code of 1986, as amended (the "Code") on certain "dividend equivalents" paid or deemed paid to a non-U.S. holder with
respect to a "specified equity-linked instrument" that references one or more dividend-paying U.S. equity securities or indices containing
U.S. equity securities. The withholding tax can apply even if the instrument does not provide for payments that reference dividends. U.S.
Treasury Department (the "Treasury") regulations provide that the withholding tax applies to all dividend equivalents paid or deemed
paid on specified equity-linked instruments that have a delta of one ("delta-one specified equity-linked instruments") issued after 2016
and to all dividend equivalents paid or deemed paid on all other specified equity-linked instruments issued after 2018. However, the IRS
has issued guidance that states that the Treasury and the IRS intend to amend the effective dates of the Treasury regulations to provide
that withholding on dividend equivalents paid or deemed paid will not apply to specified equity-linked instruments that are not delta-one
specified equity-linked instruments and are issued before January 1, 2023.
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Based on our determination that the notes are not "delta-one" with respect to the underlier or any U.S. underlier stocks, our counsel is of
the opinion that the notes should not be delta-one specified equity-linked instruments and thus should not be subject to withholding on
dividend equivalents. Our determination is not binding on the IRS, and the IRS may disagree with this determination. Furthermore, the
application of Section 871(m) of the Code will depend on our determinations made upon issuance of the notes. If withholding is required,
we will not make payments of any additional amounts.
Nevertheless, after issuance, it is possible that your notes could be deemed to be reissued for tax purposes upon the occurrence of
certain events affecting the underlier, underlier stocks or your notes, and following such occurrence your notes could be treated as delta-
one specified equity-linked instruments that are subject to withholding on dividend equivalents. It is also possible that withholding tax or
other tax under Section 871(m) of the Code could apply to the notes under these rules if you enter, or have entered, into certain other
transactions in respect of the underlier, underlier stocks or the notes. If you enter, or have entered, into other transactions in respect of
the underlier, underlier stocks or the notes, you should consult your tax advisor regarding the application of Section 871(m) of the Code
to your notes in the context of your other transactions.
Because of the uncertainty regarding the application of the 30% withholding tax on dividend equivalents to the notes, you are urged to
consult your tax advisor regarding the potential application of Section 871(m) of the Code and the 30% withholding tax to an investment
in the notes.
Pursuant to final and temporary Treasury regulations and other IRS guidance, the withholding and reporting requirements under Foreign
Account Tax Compliance Act ("FATCA") generally apply to certain "withholdable payments" and will generally not apply to gross
proceeds on a sale or disposition and will generally apply to certain foreign passthru payments only to the extent that such payments are
made after the date that is two years after final regulations defining the term "foreign passthru payment" are published. We will not pay
additional amounts with respect to such withholding taxes discussed above. Foreign financial institutions and non-financial foreign
entities located in jurisdictions that have an intergovernmental agreement with the U.S. governing FATCA may be subject to different
rules.
Subject to the paragraph above, you should read the discussion under "Material U.S. Federal Income Tax Consequences -- Foreign
Account Tax Compliance Act" in the accompanying product supplement and consult your tax advisor concerning the potential application
of FATCA.
For more information about the tax consequences of an investment in the notes, you should review carefully the section of the
accompanying product supplement entitled "Material U.S. Federal Income Tax Consequences".
Cash settlement amount (on the stated maturity date): For each $1,000 face amount of your notes, we will pay you on the stated
maturity date an amount in cash equal to:
·
if the final underlier level is greater than or equal to the cap level, the maximum settlement amount;
·
if the final underlier level is greater than the initial underlier level but less than the cap level, the sum of (1) $1,000 plus (2) the
product of (i) $1,000 times (ii) the upside participation rate times (iii) the underlier return;
·
if the final underlier level is equal to or less than the initial underlier level but greater than or equal to the buffer level, $1,000; or
·
if the final underlier level is less than the buffer level, the sum of (1) $1,000 plus (2) the product of (i) $1,000 times (ii) the buffer rate
times (iii) the sum of the underlier return plus the buffer amount.
Initial underlier level: 3,327.71
Final underlier level: the closing level of the underlier on the determination date, except in the limited circumstances described under
"General Terms of the Notes -- Market Disruption Event -- Consequences of a Market Disruption Event or a Non-Trading Day" and
"General Terms of the Notes -- Discontinuance of or Adjustments to the Index Underlier or an Index Basket Underlier; Alteration of
Method of Calculation" in the accompanying product supplement
Underlier return: the quotient of (1) the final underlier level minus the initial underlier level divided by (2) the initial underlier level,
expressed as a percentage
Upside participation rate: 140.00%
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Cap level: 116.55% of the initial underlier level
Maximum settlement amount: $1,231.70
Buffer level: 2,911.74625, which is 87.50% of the initial underlier level
Buffer amount: 12.50%
Buffer rate: the quotient of the initial underlier level divided by the buffer level, which equals approximately 114.29%
Trade date: February 7, 2020
Original issue date (settlement date): February 14, 2020
Determination date: May 3, 2022, subject to adjustment as described under "General Terms of the Notes -- Determination Date" in the
accompanying product supplement.
Stated maturity date: May 5, 2022, subject to adjustment as described under "General Terms of the Notes -- Stated Maturity Date" in
the accompanying product supplement, provided, however, that if the determination date is postponed as provided under "Determination
date" above, the stated maturity date will be postponed by the same number of business day(s) from but excluding the originally
scheduled determination date to and including the actual determination date.
No interest: The offered notes do not bear interest.
No redemption: The offered notes will not be subject to a redemption right or price dependent redemption right.
No listing: The offered notes will not be listed on any securities exchange or interdealer quotation system.
Closing level: as described under "General Terms of the Notes -- Closing Level" in the accompanying product supplement
Business day: as described under "General Terms of the Notes -- Business Day" in the accompanying product supplement
Trading day: as described under "General Terms of the Notes -- Trading Day" in the accompanying product supplement
Use of proceeds and hedging: as described under "Use of Proceeds and Hedging" in the accompanying product supplement
ERISA: as described under "ERISA Considerations" in the accompanying product supplement
Supplemental plan of distribution (conflicts of interest); secondary markets (if any): UBS has agreed to sell to UBS Securities
LLC, and UBS Securities LLC has agreed to purchase from UBS, the aggregate face amount of the notes specified on the front cover of
this pricing supplement. UBS Securities LLC initially offered the notes to certain unaffiliated securities dealers at the original issue price
set forth on the cover page of this pricing supplement.

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We expect to deliver the notes against payment therefor in New York, New York on February 14, 2020, which is the fifth business day
following the date of this pricing supplement and of the pricing of the notes. 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 notes on any date prior to two business days before delivery
will be required, by virtue of the fact that the notes are initially expected to settle in five business days (T + 5), to specify alternative
settlement arrangements to prevent a failed settlement.
Conflicts of interest: UBS Securities LLC is an affiliate of UBS and, as such, has a "conflict of interest" in the offering within the
meaning of the Financial Industry Regulatory Authority, Inc. ("FINRA") Rule 5121. In addition, UBS will receive the net proceeds from the
initial public offering of the notes, thus creating an additional conflict of interest within the meaning of FINRA Rule 5121. Consequently,
the offering is being conducted in compliance with the provisions of FINRA Rule 5121.
UBS Securities LLC and its affiliates may offer to buy or sell the notes in the secondary market (if any) at prices greater than
UBS' internal valuation: The value of the notes at any time will vary based on many factors that cannot be predicted. However, the price
(not including UBS Securities LLC's or any affiliate's customary bid-ask spreads) at which UBS Securities LLC or any affiliate would offer
to buy or sell the notes immediately after the trade date in the secondary market is expected to exceed the estimated initial value of the
notes as determined by reference to our internal pricing models. The amount of the excess will decline to zero on a straight line basis
over a period ending no later than 3 months after the trade date, provided that UBS Securities LLC may shorten the period based on
various factors, including the magnitude of purchases and other requests from and negotiated arrangements with selling agents.
Notwithstanding the foregoing, UBS Securities LLC and its affiliates are not required to make a market for the notes and may stop
making a market at any time. For more information about secondary market offers and the estimated initial value of the notes, see
"Additional Risk Factors Specific To Your Notes -- Fair value considerations" and "Additional Risk Factors Specific To Your Notes --
Limited or No Secondary Market and Secondary Market Price Considerations" in this pricing supplement.
Prohibition of Sales to EEA Retail Investors: The notes are not intended to be offered, sold or otherwise made available to and
should not be offered, sold or otherwise made available to any retail investor in the European Economic Area ("EEA"). For these
purposes, a retail investor means a person who is one (or more) of: (i) a retail client as defined in point (11) of Article 4(1) of Directive
2014/65/EU, as amended ("MiFID II"); (ii) a customer within the meaning of Directive 2002/92/EC, as amended, where that customer
would not qualify as a professional client as defined in point (10) of Article 4(1) of MiFID II; or (iii) not a qualified investor as defined in
Directive 2003/71/EC, as amended. Consequently no key information document required by Regulation (EU) No 1286/2014, as
amended (the "PRIIPs Regulation"), for offering or selling the notes or otherwise making them available to retail investors in the EEA has
been prepared and therefore offering or selling the notes or otherwise making them available to any retail investor in the EEA may be
unlawful under the PRIIPs Regulation.
Calculation agent: UBS Securities LLC
CUSIP no.: 90270K4C0
ISIN no.: US90270K4C02
FDIC: The notes are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental
agency.

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HYPOTHETICAL EXAMPLES
The following table and chart are provided for purposes of illustration 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 final underlier levels on the
determination date could have on the cash settlement amount at maturity assuming all other variables remain constant.
The examples below are based on a range of final underlier levels that are entirely hypothetical; no one can predict what the underlier
level will be on any day throughout the life of your notes, and no one can predict what the final underlier level will be on the
determination date. The underlier has been volatile in the past -- meaning that the underlier level 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 face amount and held to the stated maturity date. If you sell your notes in a secondary market prior to the
stated 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 table below such as interest rates, the volatility of the underlier 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
our pricing models) is less than the original issue price of your notes. For more information on the estimated value of your notes, see
"Additional Risk Factors Specific To Your Notes -- Fair Value Considerations -- The Issue Price You Pay for the Notes Exceeds Their
Estimated Initial Value" in this pricing supplement. The information in the table also reflects the key terms and assumptions in the box
below.
Key Terms and Assumptions


Face amount
$1,000.00

Upside participation rate
140.00%

Cap level
116.550% of the initial underlier level

Maximum settlement amount
$1,231.70

Buffer level
87.50% of the initial underlier level

Buffer rate
Approximately 114.29%

Buffer amount
12.50%

Neither a market disruption event nor a non-trading day occurs on the originally scheduled determination date.

No change in or affecting any of the underlier stocks or the method by which the underlier sponsor calculates the underlier.

Notes are purchased on original issue date at the face amount and held to the stated maturity date.

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2/12/2020
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The actual performance of the underlier 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 underlier levels shown elsewhere in this pricing supplement. For
information about the historical levels of the underlier during recent periods, see "The Underlier -- Historical Closing Levels of the
Underlier" in this pricing supplement.
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 underlier stocks.
The levels in the left column of the table below represent hypothetical final underlier levels and are expressed as percentages of the
initial underlier level. The amounts in the right column represent the hypothetical cash settlement amounts, based on the corresponding
hypothetical final underlier level (expressed as a percentage of the initial underlier level), 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 pay for each $1,000.00 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
level (expressed as a percentage of the initial underlier level) and the assumptions noted above.
Hypothetical Final Underlier Level
Hypothetical Cash Settlement Amount
(as Percentage of Initial Underlier Level)

(as Percentage of Face Amount)
150.000%

123.170%
140.000%

123.170%
130.000%

123.170%
125.000%

123.170%
116.550%

123.170%
115.000%

121.000%
110.000%

114.000%
105.000%

107.000%
100.000%

100.000%
95.000%

100.000%
90.000%

100.000%
87.500%

100.000%
80.000%

91.429%
70.000%

80.000%
60.000%

68.571%
50.000%

57.143%
25.000%

28.571%
0.000%

0.0000%
If, for example, the final underlier level were determined to be 25.000% of the initial underlier level, the cash settlement amount that we
would pay on your notes at maturity would be approximately 28.571% of the face 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 face amount and held them to the stated maturity date, you would
lose approximately 71.429% of your investment (if you purchased your notes at a premium to face amount you would lose a
correspondingly higher percentage of your investment). In addition, if the final underlier level were determined to be 150.000% of the
initial underlier level, the cash settlement amount that we would pay on your notes at maturity would be capped at the maximum
settlement amount (expressed as a percentage of the face amount), or 123.170% of each $1,000.00 face amount of your notes, as
shown in the table above. As a result, if you held your notes to the stated maturity date, you would not benefit from any increase in the
final underlier level over 116.550% of the initial underlier level.

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