Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-228614 (To Prospectus dated December 26, 2018, Prospectus Supplement dated December 26, 2018, and Product Prospectus Supplement EQUITY
INDICES LIRN-1 dated December 26, 2018)
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5,259,230 Units
$10 principal amount per unit CUSIP No. 06417P421 |
Pricing Date
Settlement Date Maturity Date |
April 25, 2019
May 2, 2019 June 26, 2020 |
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Capped Leveraged Index Return Notes® Linked to the S&P 500® Index
■ Maturity of approximately 14 months
■ 2-to-1 upside exposure to increases in the Index, subject to a capped return of 8.02%
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1-to-1 downside exposure to decreases in the Index beyond a 5.00% decline, with up to 95.00% of your principal at risk
■ All payments occur at maturity and are subject to the credit risk of The Bank of Nova Scotia
■ No periodic interest payments
■ In addition to the underwriting discount set forth below, the notes include a hedging-related charge of $0.075 per unit. See “Structuring the Notes”
■ Limited secondary market liquidity, with no exchange listing
■ The notes are unsecured debt securities and are not savings accounts or insured deposits of a bank. The notes are not insured or guaranteed by the Canada Deposit Insurance
Corporation (the “CDIC”), the U.S. Federal Deposit Insurance Corporation (the “FDIC”), or any other governmental agency of Canada, the United States or any other jurisdiction
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Per Unit |
Total
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Public offering price
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$10.00
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$52,592,300.00
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Underwriting discount
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$ 0.20
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$1,051,846.00
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Proceeds, before expenses, to BNS
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$ 9.80
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$51,540,454.00
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Are Not FDIC Insured
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Are Not Bank Guaranteed
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May Lose Value
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Capped Leveraged Index Return Notes®
Linked to the S&P 500® Index due June 26, 2020 |
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Terms of the Notes
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Redemption Amount Determination
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Issuer:
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The Bank of Nova Scotia (“BNS”)
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On the maturity date, you will receive a cash payment per unit determined as follows:
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Principal Amount:
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$10.00 per unit
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Term:
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Approximately 14 months
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Market Measure:
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The S&P 500® Index (Bloomberg symbol:
“SPX”), a price return index
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Starting Value:
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2,926.17
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Ending Value:
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The average of the closing levels of the Market Measure on each calculation day occurring during the Maturity Valuation Period. The scheduled
calculation days are subject to postponement in the event of Market Disruption Events, as described beginning on page PS-18 of product prospectus supplement EQUITY INDICES LIRN-1.
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Threshold Value:
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2,779.86 (95.00% of the Starting Value, rounded to two decimal places).
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Participation Rate:
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200%
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Capped Value: |
$10.802 per unit, which represents a return of 8.02% over the principal amount.
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Maturity Valuation Period:
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June 17, 2020, June 18, 2020, June 19, 2020, June 22, 2020 and June 23, 2020
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Fees and Charges:
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The underwriting discount of $0.20 per unit listed on the cover page and the hedging related charge of $0.075 per unit described in “Structuring the
Notes” on page TS-15.
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Calculation Agent:
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Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”).
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Capped Leveraged Index Return Notes®
Linked to the S&P 500® Index due June 26, 2020 |
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◾ |
Product prospectus supplement EQUITY INDICES LIRN-1 dated December 26, 2018:
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◾ |
Prospectus supplement dated December 26, 2018:
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◾ |
Prospectus dated December 26, 2018:
https://www.sec.gov/Archives/edgar/data/9631/000119312518357537/d677731d424b3.htm |
You may wish to consider an investment in the notes if:
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The notes may not be an appropriate investment for you if:
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◾ You anticipate that
the Index will increase moderately from the Starting Value to the Ending Value.
◾ You are willing to
risk a substantial loss of principal if the Index decreases from the Starting Value to an Ending Value that is below the Threshold Value.
◾ You accept that the
return on the notes will be capped.
◾ You are willing to
forgo the interest payments that are paid on conventional interest bearing debt securities.
◾ You are willing to
forgo dividends or other benefits of owning the stocks included in the Index.
◾ You are willing to
accept a limited or no market for sales prior to maturity, and understand that the market prices for the notes, if any, will be affected by various factors, including our actual and perceived creditworthiness, our internal funding rate
and fees and charges on the notes.
◾ You are willing to
assume our credit risk, as issuer of the notes, for all payments under the notes, including the Redemption Amount.
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◾ You believe that
the Index will decrease from the Starting Value to the Ending Value or that it will not increase sufficiently over the term of the notes to provide you with your desired return.
◾ You seek 100%
principal repayment or preservation of capital.
◾ You seek an
uncapped return on your investment.
◾ You seek interest
payments or other current income on your investment.
◾ You want to receive
dividends or other distributions paid on the stocks included in the Index.
◾ You seek an
investment for which there will be a liquid secondary market.
◾ You are unwilling
or are unable to take market risk on the notes or to take our credit risk as issuer of the notes.
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Capped Leveraged Index Return Notes®
Linked to the S&P 500® Index due June 26, 2020 |
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Capped Leveraged Index Return Notes®
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This graph reflects the returns on the notes, based on the Participation Rate of 200%, the Threshold Value of 95% of the Starting Value and the
Capped Value of $10.802. The green line reflects the returns on the notes, while the dotted gray line reflects the returns of a direct investment in the stocks included in the Index, excluding dividends.
This graph has been prepared for purposes of illustration only.
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Ending Value
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Percentage Change from the Starting Value to the Ending Value
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Redemption Amount per Unit
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Total Rate of Return on the Notes
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0.00
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-100.00%
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$0.500
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-95.00%
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50.00
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-50.00%
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$5.500
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-45.00%
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85.00
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-15.00%
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$9.000
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-10.00%
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90.00
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-10.00%
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$9.500
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-5.00%
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94.00
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-6.00%
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$9.900
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-1.00%
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95.00(1)
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-5.00%
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$10.000
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0.00%
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97.00
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-3.00%
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$10.000
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0.00%
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100.00(2)
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0.00%
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$10.000
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0.00%
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102.00
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2.00%
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$10.400
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4.00%
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105.00
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5.00%
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$10.802 (3)
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8.02%
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110.00
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10.00%
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$10.802
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8.02%
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120.00
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20.00%
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$10.802
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8.02%
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130.00
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30.00%
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$10.802
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8.02%
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140.00
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40.00%
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$10.802
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8.02%
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150.00
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50.00%
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$10.802
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8.02%
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160.00
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60.00%
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$10.802
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8.02%
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(1)
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This is the hypothetical Threshold Value.
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(2)
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The hypothetical Starting Value of 100 used in
these examples has been chosen for illustrative purposes only. The actual Starting Value is 2,926.17, which was the closing level of the Market Measure on the pricing date.
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(3)
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The Redemption Amount per unit cannot exceed the Capped Value.
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Capped Leveraged Index Return Notes®
Linked to the S&P 500® Index due June 26, 2020 |
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Example 1
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The Ending Value is 85.00, or 85.00% of the Starting Value:
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Starting Value:
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100.00
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Threshold Value: | 95.00 | |
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Ending Value:
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85.00
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Redemption Amount per unit
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Example 2
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The Ending Value is 97.00, or 97.00% of the Starting Value:
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Starting Value:
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100.00
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Threshold Value: | 95.00 | |
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Ending Value:
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97.00
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Redemption Amount (per unit) = $10.00, the principal amount, since the Ending Value is less than the Starting Value but equal to or greater than the Threshold Value. |
Example 3
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The Ending Value is 102.00, or 102.00% of the Starting Value:
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Starting Value:
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100.00
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Ending Value:
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102.00
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= $10.40 Redemption Amount per unit
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Example 4
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The Ending Value is 130.00, or 130.00% of the Starting Value:
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Starting Value:
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100.00
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Ending Value:
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130.00
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= $16.00, however, because the Redemption Amount for the notes cannot exceed the Capped Value, the Redemption Amount will be $10.802
per unit
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Capped Leveraged Index Return Notes®
Linked to the S&P 500® Index due June 26, 2020 |
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Depending on the performance of the Index as measured shortly before the maturity date, your investment may result in a loss; there
is no guaranteed return of principal.
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Your return on the notes may be less than the yield you could earn by owning a conventional fixed or floating rate debt security of
comparable maturity.
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Payments on the notes are subject to our credit risk, and actual or perceived changes in our creditworthiness are expected to affect
the value of the notes. If we become insolvent or are unable to pay our obligations, you may lose your entire investment.
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Your investment return is limited to the return represented by the Capped Value and may be less than a comparable investment
directly in the stocks included in the Index.
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Our initial estimated value of the notes is lower than the public offering price of the notes. Our initial estimated value of the
notes is only an estimate. The public offering price of the notes exceeds our initial estimated value because it includes costs associated with selling and structuring the notes, as well as hedging our obligations under the notes with a
third party, which may include MLPF&S or one of its affiliates. These costs include the underwriting discount and an expected hedging related charge, as further described in “Structuring the Notes” on page TS-15.
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Our initial estimated value of the notes does not represent future values of the notes and may differ from others’ estimates. Our
initial estimated value of the notes is determined by reference to our internal pricing models when the terms of the notes are set. These pricing models consider certain factors, such as our internal funding rate on the pricing date, the
expected term of the notes, market conditions and other relevant factors existing at that time, and our assumptions about market parameters, which can include volatility, dividend rates, interest rates and other factors. Different pricing
models and assumptions could provide valuations for the notes that are different from our initial estimated value. In addition, market conditions and other relevant factors in the future may change, and any of our assumptions may prove to
be incorrect. On future dates, the market value of the notes could change significantly based on, among other things, the performance of the Index, changes in market conditions, our creditworthiness, interest rate movements and other
relevant factors. These factors, together with various credit, market and economic factors over the term of the notes, are expected to reduce the price at which you may be able to sell the notes in any secondary market and will affect the
value of the notes in complex and unpredictable ways. Our initial estimated value does not represent a minimum price at which we or any agents would be willing to buy your notes in any secondary market (if any exists) at any time.
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Our initial estimated value is not determined by reference to credit spreads or the borrowing rate we would pay for our conventional
fixed-rate debt securities. The internal funding rate used in the determination of our initial estimated value of the notes generally represents a discount from the credit spreads for our conventional fixed-rate debt securities and the
borrowing rate we would pay for our conventional fixed-rate debt securities. If we were to use the interest rate implied by the credit spreads for our conventional fixed-rate debt securities, or the borrowing rate we would pay for our
conventional fixed-rate debt securities, we would expect the economic terms of the notes to be more favorable to you. Consequently, our use of an internal funding rate for the notes would have an adverse effect on the economic terms of the
notes, the initial estimated value of the notes on the pricing date, and the price at which you may be able to sell the notes in any secondary market.
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A trading market is not expected to develop for the notes. Neither we nor MLPF&S is obligated to make a market for, or to
repurchase, the notes. There is no assurance that any party will be willing to purchase your notes at any price in any secondary market.
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Our business, hedging and trading activities, and those of MLPF&S and our respective affiliates (including trades in shares of
companies included in the Index), and any hedging and trading activities we, MLPF&S or our respective affiliates engage in for our clients’ accounts, may affect the market value and return of the notes and may create conflicts of
interest with you.
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The Index sponsor may adjust the Index in a way that may adversely affect its level and your interests, and the Index sponsor has no
obligation to consider your interests.
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You will have no rights of a holder of the securities included in the Index, and you will not be entitled to receive securities or
dividends or other distributions by the issuers of those securities.
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While we, MLPF&S or our respective affiliates may from time to time own securities of companies included in the Index, except
to the extent that the common stock of Bank of America Corporation (the parent company of MLPF&S) is included in the Index, we, MLPF&S and our respective affiliates do not control any company included in the Index, and have not
verified any disclosure made by any other company.
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There may be potential conflicts of interest involving the calculation agent, which is MLPF&S. We have the right to appoint
and remove the calculation agent.
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Capped Leveraged Index Return Notes®
Linked to the S&P 500® Index due June 26, 2020 |
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The U.S. federal income tax consequences of the notes are uncertain, and may be adverse to a holder of the notes. See “Summary of
U.S. Federal Income Tax Consequences” below.
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The conclusion that no portion of the interest paid or credited or deemed to be paid or credited on a note will be “Participating Debt Interest” subject
to Canadian withholding tax is based in part on the current published administrative position of the CRA. There cannot be any assurance that CRA’s current published administrative practice will not be subject to change, including potential
expansion in the current administrative interpretation of Participating Debt Interest subject to Canadian withholding tax. If, at any time, the interest paid or credited or deemed to be paid or credited on a note is subject to Canadian
withholding tax, you will receive an amount that is less than the Redemption Amount. You should consult your own adviser as to the potential for such withholding and the potential for reduction or refund of part or all of such withholding,
including under any bilateral Canadian tax treaty the benefits of which you may be entitled. For a discussion of the Canadian federal income tax consequences of investing in the notes, see “Summary of Canadian Federal Income Tax
Consequences” below, “Canadian Taxation—Debt Securities” on page 62 of the prospectus dated December 26, 2018, and “Supplemental Discussion of Canadian Federal Income Tax Consequences” on page PS-27 of product prospectus supplement EQUITY
INDICES LIRN-1.
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Capped Leveraged Index Return Notes®
Linked to the S&P 500® Index due June 26, 2020 |
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Capped Leveraged Index Return Notes®
Linked to the S&P 500® Index due June 26, 2020 |
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holdings by other publicly traded corporations, venture capital firms, private equity firms, or strategic partners or leveraged
buyout groups;
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holdings by government entities, including all levels of government within the United States or foreign countries, except for pension
and retirement funds; and
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holdings by current or former officers and directors of the company, funders of the company, or family trusts of officers, directors
or founders. Second, holdings of trusts, foundations, pension funds, employee stock ownership plans or other investment vehicles associated with and controlled by the company.
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Capped Leveraged Index Return Notes®
Linked to the S&P 500® Index due June 26, 2020 |
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Corporate Action
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Share Count Revision Required?
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Divisor Adjustment Required?
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Stock split
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Yes - share count is revised to reflect new count
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No - share count and price changes are off-setting
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Change in shares outstanding (secondary issuance, share repurchase and/or share buy-back)
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Yes - share count is revised to reflect new count
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Yes - divisor adjustment reflects change in market capitalization
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Spin-off if spun-off company is not being added to the Index
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No |
Yes - divisor adjustment reflects decline in index market value (i.e. value of the spun-off unit)
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Spin-off if spun-off company is being added to the Index and no company is being removed
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No | No | ||
Spin-off if spun-off company is being added to the Index and another company is being removed
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No |
Yes - divisor adjustment reflects deletion
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Special dividends
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No
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Yes - calculation assumes that share price drops by the amount of the dividend; divisor adjustment reflects this change in index market value
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Change in IWF
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No
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Yes - divisor change reflects the change in market value caused by the change to an IWF
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Company added to or deleted from the Index
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No.
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Yes - divisor is adjusted by the net change in market value
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Capped Leveraged Index Return Notes®
Linked to the S&P 500® Index due June 26, 2020 |
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Rights offering
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No.
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Yes - divisor adjustment reflects increase in market capitalization (calculation assumes that offering is fully subscribed at the set price)
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Capped Leveraged Index Return Notes®
Linked to the S&P 500® Index due June 26, 2020 |
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Capped Leveraged Index Return Notes®
Linked to the S&P 500® Index due June 26, 2020 |
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Capped Leveraged Index Return Notes®
Linked to the S&P 500® Index due June 26, 2020 |
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Capped Leveraged Index Return Notes®
Linked to the S&P 500® Index due June 26, 2020 |
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Capped Leveraged Index Return Notes®
Linked to the S&P 500® Index due June 26, 2020 |
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Capped Leveraged Index Return Notes®
Linked to the S&P 500® Index due June 26, 2020 |
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Capped Leveraged Index Return Notes®
Linked to the S&P 500® Index due June 26, 2020 |
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Capped Leveraged Index Return Notes®
Linked to the S&P 500® Index due June 26, 2020 |
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