Obligation ScotiaBank 0% ( US064159SN73 ) en USD

Société émettrice ScotiaBank
Prix sur le marché 100 %  ▲ 
Pays  Canada
Code ISIN  US064159SN73 ( en USD )
Coupon 0%
Echéance 01/02/2023 - Obligation échue



Prospectus brochure de l'obligation Bank of Nova Scotia US064159SN73 en USD 0%, échue


Montant Minimal 1 000 USD
Montant de l'émission 64 154 000 USD
Cusip 064159SN7
Notation Standard & Poor's ( S&P ) N/A
Notation Moody's N/A
Description détaillée La Banque de Nouvelle-Écosse (Scotiabank) est une banque multinationale canadienne offrant une vaste gamme de services financiers personnels et commerciaux à travers les Amériques, en Europe et en Asie-Pacifique.

Analyse Post-Maturité de l'Obligation à Taux Zéro de la Banque Scotia Le marché des titres à revenu fixe joue un rôle central dans le financement des entreprises et des institutions financières, et l'examen des caractéristiques et du cycle de vie des obligations offre des aperçus précieux sur la gestion de dette et la performance des émetteurs. Le présent article se penche sur une obligation récemment arrivée à échéance, émise par la Banque de Nouvelle-Écosse. L'émetteur de cette obligation est la Banque de Nouvelle-Écosse, communément appelée Bank of Nova Scotia (BNS). Il s'agit de l'une des six grandes banques à charte du Canada, jouissant d'une présence internationale significative, particulièrement en Amérique latine et dans les Caraïbes. Fondée en 1832, la BNS offre une gamme complète de produits et services financiers, incluant les services bancaires aux particuliers et aux entreprises, la gestion de patrimoine et les marchés mondiaux, ce qui en fait un acteur institutionnel de premier plan sur les marchés financiers mondiaux et un émetteur régulier de titres de dette. Cette émission obligataire, identifiée par le code ISIN US064159SN73 et le code CUSIP 064159SN7, a été libellée en dollars américains (USD), bien que son pays d'émission soit le Canada, soulignant la dimension transfrontalière des activités de financement de la BNS. Un des aspects les plus notables de cette obligation était son taux d'intérêt nominal de 0%. Ceci la classifie comme une obligation à coupon zéro ("zero-coupon bond"). Pour ces instruments, les investisseurs n'ont pas perçu de paiements d'intérêts réguliers; ils ont plutôt acquis le titre à un prix inférieur à sa valeur nominale et ont réalisé leur rendement lors du remboursement à 100% de la valeur faciale à l'échéance. Le montant total de l'émission s'élevait à 64 154 000 USD, une taille significative attestant de la capacité de l'émetteur à lever des capitaux sur les marchés internationaux. La taille minimale d'achat était fixée à 1 000 USD, rendant le titre accessible à une base d'investisseurs relativement large. La date de maturité de cette obligation était fixée au 1er février 2023. À cette date, et conformément aux termes de l'émission, l'obligation a été remboursée à sa valeur nominale de 100% aux porteurs. La fréquence de paiement indiquée à 2 (généralement semi-annuelle) est une spécification technique habituelle pour les obligations, bien que pour une obligation à coupon zéro, elle ne se traduise pas par des versements d'intérêts périodiques et se réfère principalement au paiement unique du principal à l'échéance. Le fait que cette obligation soit arrivée à maturité et ait été intégralement remboursée confirme la bonne exécution des obligations de l'émetteur et renforce la confiance des investisseurs dans la solidité financière de la Banque Scotia en tant qu'institution émettrice sur les marchés de capitaux mondiaux.







424B2 1 p54655843-424b2.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
$ 6 4 ,1 5 4 ,0 0 0 Aut oc a lla ble N ot e s
Link e d t o t he Russe ll 2 0 0 0 ® I nde x Due Fe brua ry 1 , 2 0 2 3
T he not e s do not be a r int e re st . The notes will mature on the maturity date (February 1, 2023) unless they are automatically called on any annual call observation
date (commencing on February 8, 2021). Your notes will be automatically called on a call observation date if the closing level of the Russell 2000® Index (the reference
asset) on such date is greater than or equal to the initial level of 1,648.219, resulting in a payment on the corresponding call payment date for each $1,000 principal
amount of your notes equal to (i) $1,000 plus (ii) the product of $1,000 times the applicable call premium amount. The call observation dates, call payment dates and
applicable call premium amount for each call payment date are specified under "Summary" beginning on page P-3 this pricing supplement.
If your notes are not automatically called, the amount that you will be paid on your notes at maturity will be based on the performance of the reference asset as measured
from the trade date (January 30, 2020) to and including the valuation date (January 30, 2023).
If the final level on the valuation date is equal to or greater than the initial level, the return on your notes will be positive and you will receive the maximum payment
amount of $1,246.00 for each $1,000 principal amount of your notes.
I f t he fina l le ve l on t he va lua t ion da t e is le ss t ha n 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 1 % for e ve ry 1 % ne ga t ive pe rc e nt a ge c ha nge . 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 .
The return on your notes is capped. If the notes are automatically called, the maximum payment you would receive for each $1,000 principal amount of your notes is equal
to (i) $1,000 plus (ii) the product of $1,000 times the applicable call premium amount. If your notes are not automatically called, the maximum payment you would receive
on the maturity date for each $1,000 principal amount of your notes is the maximum payment amount.
If your notes are not automatically called on any call observation date, we will calculate the percentage change, which is the percentage increase or decrease in the final
level from the initial level, to determine your payment at maturity. At maturity, for each $1,000 principal amount of your notes, you will receive an amount in cash equal to:
?
if the final level is equal to or greater than the initial level, the maximum payment amount; or
?
if the final level is less than the initial level, the sum of (i) $1,000 plus (ii) the product of (a) $1,000 times (b) the percentage change.
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 6 4 .0 1 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%
$64,154,000.00
Underwriting commissions
2.20%
$1,411,388.00
Proceeds to The Bank of Nova Scotia
97.80%
$62,742,612.00
N e it he r t he U nit e d St a t e s Se c urit ie s a nd Ex c ha nge Com m ission (t he "SEC") nor a ny st a t e se c urit ie s c om m ission ha s a pprove d or
disa pprove d of t he not e s or pa sse d upon t he a c c ura c y or t he a de qua c y of t his pric ing supple m e nt , t he a c c om pa nying prospe c t us,
a c c om pa nying prospe c t us supple m e nt or a c c om pa nying produc t prospe c t us supple m e nt . Any re pre se nt a t ion t o t he c ont ra ry is a c rim ina l
offe nse .
T he not e s a re not insure d by t he Ca na da De posit I nsura nc e Corpora t ion (t he "CDI C") pursua nt t o t he Ca na da De posit Insura nc e
Corpora t ion Ac t (t he "CDI C Ac t ") or t he U .S. Fe de ra l De posit I nsura nc e Corpora t ion or a ny ot he r gove rnm e nt a ge nc y of Ca na da , t he U nit e d
St a t e s or a ny ot he r jurisdic t ion.
Scotia Capital (USA) Inc.
Goldman Sachs & Co. LLC
Dealer
Pricing Supplement dated January 30, 2020
The Autocallable Notes Linked to the Russell 2000® Index Due February 1, 2023 (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
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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 other 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
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 initial 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" on page P-15.
The economic terms of the notes (including the call premium amounts and 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, the 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 GS&Co.'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 Goldman Sachs & Co.'s ("GS&Co.'s") customary
bid and ask spreads) at which GS&Co. would initially buy or sell notes in the secondary market (if GS&Co. makes a market, which it is not obligated to do) and the value
that GS&Co. will initially use for account statements and otherwise is equal to approximately GS&Co.'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 $29.50 per $1,000 principal amount).
Prior to April 30, 2020, the price (not including GS&Co.'s customary bid and ask spreads) at which GS&Co. 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 GS&Co.'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 April 29, 2020). On and after April
30, 2020, the price (not including GS&Co.'s customary bid and ask spreads) at which GS&Co. 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 value of your notes shown in your
GS&Co. account statements and the price at which GS&Co. would buy or sell your notes (if GS&Co. makes a market, which it is not obligated to do), each based on
GS&Co.'s pricing models; see "Additional Risks -- The price at which GS&Co. would buy or sell your notes (if GS&Co. makes a market, which it is not obligated to do) will
be based on GS&Co.'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 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 :
064159SN7 / US064159SN73


T ype of N ot e s:
Autocallable Notes


Re fe re nc e Asse t :
The Russell 2000® Index (Bloomberg Ticker: RTY)


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; $64,154,000 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
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T ra de Da t e :
January 30, 2020


Origina l I ssue Da t e :
February 6, 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.


V a lua t ion Da t e :
January 30, 2023.
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 :
February 1, 2023, 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.



Ca ll Obse rva t ion Da t e s:
The dates specified in the table below. If any call observation date is not a trading day, such call observation date
will be postponed to the next following trading day.




Ca ll Obse rva t ion Da t e s
Ca ll Pa ym e nt Da t e s
Ca ll Pre m ium Am ount

February 8, 2021
February 10, 2021
8.20%

January 31, 2022
February 2, 2022
16.40%


If a market disruption event occurs or is continuing on any call observation date or such day is not a trading day,
then such call observation date will be postponed to the first following trading day on which the calculation agent
determines that no market disruption event occurs or is continuing. If a market disruption event occurs or is
continuing on each trading day to and including the seventh trading day following the originally scheduled call
observation date, then that seventh trading day will be deemed to be the applicable call observation date and the
closing level for such call observation date will be determined (or, if not determinable, estimated) by the calculation
agent on that seventh trading day, regardless of the occurrence or continuation of a market disruption event on
that day. In such an event, the calculation agent will make an estimate of the closing level that would have
prevailed in the absence of the market disruption event.



Ca ll Pa ym e nt Da t e s:
The dates specified as such in the table set forth under "--Call Observation Dates" above or, if any such day is
not a business day, the next following business day. If a call observation date is postponed as described under
"--Call Observation Dates" above, the related call payment date will also be postponed by the same number of
trading days as that call observation date.



Princ ipa l a t Risk :
You may lose all or a substantial portion of your initial investment at maturity if the final level is less than the initial
level.



Purc ha se a t a m ount ot he r t ha n
The amount we will pay you upon an automatic call or at maturity will not be adjusted based on the original issue
princ ipa l a m ount :
price 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 or, if the notes are automatically called, the applicable call payment 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. If you purchase your notes at a premium to
the principal amount, if the notes are not automatically called and the final level is less than the initial level you will
incur a greater percentage decrease in your investment in the notes than would have been the case if you had
purchased the notes at the principal amount. Similarly, the maximum payment amount if the notes are not
automatically called, or the applicable call premium amount if the notes are automatically called, will permit a lower
positive 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" on
page P-20 of this pricing supplement.
P-4
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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
GS&Co. at a discount reflecting commissions of $22.00 per $1,000 principal amount of notes. The commissions
per $1,000 principal amount are comprised of $2.50 of fees and $19.50 of selling commission. GS&CO initially
offered the notes to the public at the original issue price set forth on the cover of this pricing supplement. See
"Supplemental Plan of Distribution (Conflicts of Interest)" in this pricing supplement. At the time we issue the
notes, we will enter into certain hedging arrangements (which may include call options, put options or other
derivatives) with GS&Co. or one of its affiliates.

The price at which you purchase the notes includes costs that the Bank, GS&Co. or our or their respective
affiliates expect to incur and profits that the Bank, GS&Co. or our or their respective 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 original issue date. See "Additional Risks--Hedging activities by the Bank and
GS&Co. 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.



Aut om a t ic Ca ll Fe a t ure :
If a redemption event occurs on any call observation date, then the notes will be automatically redeemed in whole
and we will pay an amount in cash on the corresponding call payment date, for each $1,000 principal amount of
the notes, equal to the sum of (i) $1,000 plus (ii) the product of $1,000 times the applicable call premium amount
specified under "--Call Observation Dates" above. Following an automatic call, no further payments will be made
on the notes.



Re de m pt ion Eve nt :
A redemption event will occur if the closing level of the reference asset on any call observation date is equal to or
greater than the initial level.



Pa ym e nt a t M a t urit y:
If the notes are not automatically called, for each $1,000 principal amount of your notes, we will pay you on the
maturity date an amount in cash equal to:




o
If the final level is equal to or greater than the initial level, the maximum payment amount; or




o
If the final level is less than the initial level, $1,000 + ($1,000 x percentage change)




In this case you will suffer a percentage loss on your initial investment equal to the negative percentage
change. Accordingly, you could lose up to 100% of your initial investment.
P-5
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 "RTY <Index>" or any successor page on
Bloomberg or any successor service, as applicable, on such date. Currently, whereas the sponsor publishes the official
closing level of the reference asset to six decimal places, Bloomberg reports the closing level to fewer decimal places. As
a result, the closing level of the reference asset reported by Bloomberg may be lower or higher than the official closing
level of the reference asset published by the sponsor.



In certain special circumstances, the closing level will be determined by the calculation agent, in its discretion. See "--
Call Observation Dates" above, "General Terms of the Notes--Unavailability of the Level of the Reference Asset on a
Valuation Date" beginning on page PS-19 in the accompanying product prospectus supplement and "General Terms of
the Notes--Market Disruption Events" beginning on page PS-20 in the accompanying product prospectus supplement.
Each call observation date will be considered a "valuation date" under the accompanying product prospectus supplement.


I nit ia l Le ve l:
1,648.219, 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.


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:


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final level ­ initial level
initial level



For the avoidance of doubt, the percentage change may be a negative value.


M a x im um Pa ym e nt Am ount :
$1,246.00 for each $1,000 principal amount of your notes.


Ca ll Pre m ium Am ount :
With respect to any call payment date, the applicable call premium amount specified in the table set forth under "?Call
Observation Dates" above.


Form of N ot e s:
Book-entry


Ca lc ula t ion Age nt :
Scotia Capital Inc., an affiliate of the Bank


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 "Additional Amounts" and "Tax Redemption" in the accompanying
product prospectus supplement.
P-6
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.
I nve st ing in t he not e s involve s signific a nt risk s. Y ou m a y lose a ll or a subst a nt ia l port ion of your inve st m e nt . Any pa ym e nt on t he not e s,
inc luding a ny re pa ym e nt of princ ipa l, is subje c t t o t he c re dit w ort hine ss of t he Ba nk . I f t he Ba nk w e re t o de fa ult on it s pa ym e nt obliga t ions
you m a y not re c e ive a ny a m ount s ow e d t o you unde r t he not e s a nd you c ould lose your e nt ire inve st m e nt .
P-7
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
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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-8
I N V EST OR SU I T ABI LI T Y
The notes may be suitable for you if:
?
You fully understand and are willing 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 can tolerate a loss of up to 100% of your initial investment.


?
You are willing to make an investment that, if the notes are not automatically called, has the same downside market risk as that of a hypothetical investment in the
reference asset or in the reference asset constituent stocks.


?
You are willing to have your return limited by the automatic call feature and the applicable call premium amount if the closing level of the reference asset is equal
to or greater than the initial level on one of the specified call observation dates.


?
You believe that, if the notes are not automatically called, the closing level of the reference asset will be equal to or greater than the initial level on the valuation
date, and you understand and accept that you will not participate in any increase in the level of the reference asset and that any potential return is limited to the
maximum payment amount.


?
You are willing to invest in the notes based on the call premium amounts of 8.20% with respect to the first call observation date and 16.40% with respect to the
second call observation date, and the maximum payment amount of $1,246.00.


?
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 and are willing to forgo any dividends paid on the reference asset constituent stocks.


?
You are willing to invest in notes that may be subject to an automatic call and you are otherwise willing to hold the notes to maturity, a term of approximately 36
months, and accept that there may be little or no secondary market for the notes.


?
You seek an investment with exposure to U.S. small-capitalization companies.


?
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 not willing 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.


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?
You are not willing to make an investment that, if the notes are not automatically called, has the same downside market risk as that of a hypothetical investment in
the reference asset or in the reference asset constituent stocks.


?
You believe that the closing level of the reference asset will be less than the initial level on each call observation date and the final level will be less than the
initial level on the valuation date.


?
You are unwilling to have your return limited by the automatic call feature and the applicable call premium amount.


?
You are unwilling or unable to accept that you will not participate in any increase in the level of the reference asset and that if the notes are not automatically
called the potential return is limited by the maximum payment amount.
P-9
?
You are unwilling to invest in the notes based on the call premium amounts of 8.20% with respect to the first call observation date and 16.40% with respect to the
second call observation date, or the maximum payment amount of $1,246.00.


?
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.


?
You are unable or unwilling to invest in notes that may be subject to an automatic call or are unable or unwilling to hold the notes to maturity, a term of
approximately 36 months, or you seek an investment for which there will be a secondary market.


?
You do not seek an investment with exposure to U.S. small-capitalization companies.


?
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-10
H Y POT H ET I CAL EX AM PLES
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 closing levels and final levels of the reference asset on a call observation date and on the valuation
date, respectively, could have on the amount payable upon an automatic call or the payment at maturity, as the case may be, assuming all other variables remain
constant.
The examples below are based on a range of closing levels that are entirely hypothetical; the level of the reference asset on any day throughout the life of the notes,
including the closing level on any call observation date or 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 call payment date upon an automatic call or the maturity date, as the case may be. If you sell your notes in a secondary market prior to
an automatic call or the maturity date, as the case may be, your return will depend upon the market value of your notes at the time of sale, which may be affected by a
number of factors that are not reflected in the examples below, such as interest rates, the volatility of the 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.
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K e y T e rm s a nd Assum pt ions
Principal amount
$1,000
Maximum payment amount
$1,246.00
Call premium amount
8.20% for the first call observation date
16.40% for the second call observation date
Neither a market disruption event nor a non-trading day occurs on an originally scheduled call observation date or 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 or until automatically called on a call payment date.
P-11
The actual performance of the reference asset over the life of your notes, as well as the amount payable upon an automatic call or 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.
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.
H ypot he t ic a l Pa ym e nt on a Ca ll Pa ym e nt Da t e
The examples below show hypothetical payments that we would pay on a call payment date with respect to each $1,000.00 principal amount of the notes if the closing
level of the reference asset is greater than or equal to the initial level on the applicable call observation date.
I f your not e s a re a ut om a t ic a lly c a lle d on t he first c a ll obse rva t ion da t e (i.e., on the first call observation date the closing level of the reference asset is
greater than or equal to the initial level), the amount that we would pay for each $1,000.00 principal amount of your notes on the corresponding call payment date would
be the sum of $1,000.00 plus the product of the applicable call premium amount times $1,000.00. If, for example, the closing level of the reference asset on the first call
observation date were determined to be 115.000% of the initial level, your notes would be automatically called and the amount that we would pay on your notes on the
corresponding call payment date would be 108.200% of the principal amount of your notes or $1,082.00 for each $1,000.00 principal amount of your notes.
I f, for e x a m ple , t he not e s a re not a ut om a t ic a lly c a lle d on t he first c a ll obse rva t ion da t e a nd a re a ut om a t ic a lly c a lle d on t he se c ond c a ll
obse rva t ion da t e (i.e., on the first call observation date the closing level of the reference asset is less than the initial level and on the second call observation date the
closing level of the reference asset is greater than or equal to the initial level), the amount that we would pay for each $1,000.00 principal amount of your notes on the
corresponding call payment date would be the sum of $1,000.00 plus the product of the applicable call premium amount times $1,000.00. If, for example, the closing level
of the reference asset on the second call observation date were determined to be 125.000% of the initial level, your notes would be automatically called and the amount
that we would pay on your notes on the corresponding call payment date would be 116.400% of the principal amount of your notes or $1,164.00 for each $1,000.00
principal amount of your notes.
H ypot he t ic a l Pa ym e nt a t M a t urit y
I f t he not e s a re not a ut om a t ic a lly c a lle d on e it he r c a ll obse rva t ion da t e (i.e., on each of the call observation dates the closing level of the reference asset
is less than the initial level), the payment at maturity we would pay for each $1,000.00 principal amount of your notes will depend on the performance of the reference
asset on the valuation date, as shown in the table below. The table below assumes that t he not e s ha ve not be e n a ut om a t ic a lly c a lle d on e it he r c a ll
obse rva t ion da t e and reflects hypothetical payment at maturity that you could receive. 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 of the table below 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 $1,000.00 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.
P-12
T he N ot e s H a ve N ot Be e n Aut om a t ic a lly Ca lle d
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 )
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150.000%
124.600%
140.000%
124.600%
130.000%
124.600%
120.000%
124.600%
110.000%
124.600%
1 0 0 .0 0 0 %
1 2 4 .6 0 0 %
95.000%
95.000%
90.000%
90.000%
85.000%
85.000%
80.000%
80.000%
75.000%
75.000%
50.000%
50.000%
25.000%
25.000%
0 .0 0 0 %
0 .0 0 0 %
If, for example, the notes have not been automatically called and the final level were determined to be 25.000% of the initial level, the payment at maturity that we would
pay on your notes would be 25.000% 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 75.000% 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 limited to the maximum payment amount, or 124.600% of each $1,000 principal amount of your notes, as shown in the table above. As a result, if
you held your notes to maturity, you would not benefit from any increase in the level of the reference asset beyond a return represented by the maximum payment amount.
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 amounts payable on the notes upon an automatic call or at maturity shown above are entirely hypothetical; they are based on hypothetical levels of the reference
asset that may not be achieved on a call observation date or 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 upon an automatic
call or 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 upon an automatic call or at maturity on the notes held to a call payment date or 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-20 of this pricing supplement.
P-13
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 an 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 closing level of the reference asset on a call observation date or the valuation date 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, upon an automatic call or 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 a call payment date or 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
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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. Therefore, the economic terms of the notes are less favorable to you than they would have been if these expenses not been paid or had
been lower.
N e it he r t he Ba nk 's nor GS& Co.'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 GS&Co.'s estimated value of the notes at any time are determined by reference to the Bank's internal funding rate. 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
GS& Co.'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 GS&Co.) 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 GS&Co. would buy or sell your notes (if GS&Co. 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 GS& Co. w ould buy or se ll your not e s (if GS& Co. 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
GS& Co.'s e st im a t e d va lue of your not e s
GS&Co.'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
GS&Co. would initially buy or sell your notes in the secondary market (if GS&Co. makes a market, which it is not obligated to do) exceeds GS&Co.'s estimated value of
your notes at the time of pricing. As agreed by GS&Co. 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 GS&Co. buys or sells your notes it will do so at prices that reflect the estimated
value determined by
P-15
reference to GS&Co.'s pricing models at that time. The price at which GS&Co. 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 GS&Co. calculated its estimated value 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 GS&Co. would buy or sell your notes (if
GS&Co. makes a market, which it is not obligated to do) could be significantly lower.
GS&Co.'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 GS&Co.'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 GS&Co. makes a
market in the notes, the price quoted by GS&Co. 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 GS&Co. makes a market in the notes, the quoted price will reflect the estimated value determined by reference to GS&Co.'s
pricing models at that time, plus or minus GS&Co.'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.
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