The information in this Preliminary Pricing Supplement is not complete and may be changed. We may not sell these notes until the Pricing Supplement is
delivered in final form. We are not selling these notes, nor are we soliciting offers to buy these notes, in any state where such offer or sale is not permitted.
Subject to Completion. Dated July 22, 2024
Filed Pursuant to Rule 424(b)(2)
Registration No. 333-261476
The Bank of Nova Scotia
$ Digital Notes
Linked to the shares of the iShares® 20+ Year Treasury Bond ETF Due [●]
The notes will not bear interest. The amount that you will be paid on your notes at maturity (expected to be the 2nd business day after the
valuation date) is based on the performance of the shares of the iShares® 20+ Year Treasury Bond ETF (the reference asset) as measured from the trade date to and including the valuation date (expected to be approximately 18 to 21 months
after the trade date).
If the final price on the valuation date is equal to or greater than 90.00% of the initial price (set on the trade date and will be the closing price or an intra-day price of the reference asset on
the trade date, which may be higher or lower than the closing price of the reference asset on the trade date), you will receive the maximum payment amount (expected to be between $1,108.00 and $1,127.00 for each $1,000 principal amount of your
notes). If the final price on the valuation date is less than 90.00% of the initial price, the return on your notes will be negative and you may lose up to your entire principal amount. Specifically, you will lose
approximately 1.1111% for every 1% negative percentage change in the price of the reference asset below 90.00% of the initial price. Any payment on your notes is subject to the creditworthiness of The Bank of Nova Scotia.
The return on your notes is linked to the performance of the reference asset, and not to the ICE® U.S. Treasury 20+ Year Bond Index (the reference asset index) on which
the reference asset is based.
To determine your payment at maturity, we will first calculate the reference asset return, which is the percentage increase or decrease in the final price from the initial price. At maturity, for
each $1,000 principal amount of your notes:
| ● |
if the final price is equal to or greater than 90.00% of the initial price (the reference asset return is equal to or greater than -10.00%), you will receive the maximum payment amount; or
|
| ● |
if the final price is less than the initial price by more than 10.00% (the reference asset return is negative and is less than -10.00%),
you will receive an amount in cash equal to the sum of (i) $1,000 plus (ii) the product of (a) $1,000 times (b) the buffer rate of approximately 111.11% times (c) the sum of the reference asset return plus 10.00%.
|
Following the determination of the initial price, the amount you will be paid on your notes at maturity will not be affected by the closing price of the reference asset on any
day other than the valuation date. In addition, no payments on your notes will be made prior to maturity.
Investment in the notes involves certain risks. You should refer to “Additional Risks” beginning on page P-15 of this pricing supplement and “Additional Risk
Factors Specific to the Notes” beginning on page PS-6 of the accompanying product supplement and “Risk Factors” beginning on page S-2 of the accompanying prospectus supplement and on page 7 of the accompanying prospectus.
The initial estimated value of your notes at the time the terms of your notes are set on the trade date is expected to be between $944.00 and $974.00 per $1,000
principal amount, which will be less than the original issue price of your notes listed below. 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
|
Total1
|
|
Original Issue Price
|
100.00%
|
$
|
|
Underwriting commissions
|
0.99%
|
$
|
|
Proceeds to The Bank of Nova Scotia
|
99.01%
|
$
|
1 For additional information, see “Supplemental Plan of Distribution (Conflicts of Interest)” herein.
Neither the United States Securities and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved of
the notes or passed upon the accuracy or the adequacy of this pricing supplement, the accompanying prospectus, prospectus supplement or product supplement. Any representation to the contrary is a criminal offense.
The notes are not insured by the Canada Deposit Insurance Corporation (the “CDIC”) pursuant to the Canada Deposit Insurance Corporation Act (the “CDIC Act”) or
the U.S. Federal Deposit Insurance Corporation or any other government agency of Canada, the United States or any other jurisdiction.
|
Scotia Capital (USA) Inc.
|
Goldman Sachs & Co. LLC
Dealer
|
Pricing Supplement dated , 2024
The Digital Notes Linked to the shares of the iShares® 20+ Year Treasury Bond ETF Due [●] (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. As
used in this pricing supplement, the “Bank,” “we,” “us” or “our” refers to The Bank of Nova Scotia. The notes will not be listed on any U.S. securities exchange or automated quotation system.
The return on your notes will relate to the price return of the reference asset and will not include a total return or dividend component. The notes are derivative products based
on the performance of the reference asset. The notes do not constitute a direct investment in any of the shares, units or other securities represented by the reference asset. By acquiring the notes, you will not have a direct economic or other
interest in, claim or entitlement to, or any legal or beneficial ownership of any such share, unit or security and will not have any rights as a shareholder, unitholder or other security holder of any of the issuers including, without limitation,
any voting rights or rights to receive dividends or other distributions.
Scotia Capital (USA) Inc. (“SCUSA”), our affiliate, will 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)” in the accompanying product
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 the
final 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.
Additional Information Regarding Estimated Value of the Notes
On the cover page of this pricing supplement, the Bank has provided the initial estimated value range for the notes. This range of estimated values was determined by reference to
the Bank’s internal pricing models, which take into consideration certain factors, such as the Bank’s internal funding rate on the trade date and the Bank’s assumptions about market parameters. For more information about the initial estimated
value, see “Additional Risks” beginning on page P-15.
The economic terms of the notes (including the maximum payment amount) are based on the Bank’s internal funding rate, which is the rate the Bank would pay to borrow funds through
the issuance of similar market-linked notes, 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 will be 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 — Risks Relating to Estimated
Value and Liquidity — 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. LLC’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 $per $1,000
principal amount).
Prior to , 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 approximately 3 months). On and after, 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 — Risks Relating to Estimated Value and Liquidity — 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” herein. We urge you to read the “Additional Risks” beginning on
page P-15 of this pricing supplement.
The information in this “Summary” section is qualified by the more detailed information set forth in this pricing supplement, the accompanying prospectus, prospectus supplement and
product supplement, each filed with the SEC. See “Additional Terms of Your Notes” in this pricing supplement.
|
Issuer:
|
The Bank of Nova Scotia (the “Bank”)
|
|
Issue:
|
Senior Note Program, Series A
|
|
CUSIP/ISIN:
|
06417Y5G0 / US06417Y5G08
|
|
Type of Notes:
|
Digital Notes
|
|
Reference Asset:
|
The shares of the iShares® 20+ Year Treasury Bond ETF (Bloomberg Ticker: TLT UQ)
|
|
Reference Asset Index:
|
ICE® U.S. Treasury 20+ Year Bond Index, as published by ICE Date Indices, LLC (the “sponsor”)
|
|
Minimum Investment and
Denominations:
|
$1,000 and integral multiples of $1,000 in excess thereof
|
|
Principal Amount:
|
$1,000 per note; $[●] in the aggregate for all the notes; the aggregate principal amount of the notes may be increased if the Bank, at its sole option, decides to sell an
additional amount of the notes on a date subsequent to the date of the final pricing supplement
|
|
Original Issue Price:
|
100% of the principal amount of each note
|
|
Currency:
|
U.S. dollars
|
|
Trade Date:
|
[●], 2024
|
|
Original Issue Date:
|
[●] (to be determined on the trade date and expected to be the 5th business day after the trade date)
We expect that delivery of the notes will be made against payment therefor on or about 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 one business days (“T+1”), unless the parties to any such
trade expressly agree otherwise. Accordingly, purchasers who wish to trade the notes prior to one 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.
|
|
Valuation Date:
|
[●] (to be determined on the trade date and expected to be approximately 18 to 21 months after the trade date)
The valuation date could be delayed by the occurrence of a market disruption event. See “General Terms of the Notes—Market Disruption Events” in the accompanying product 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.
|
|
Maturity Date:
|
[●] (to be determined on the trade date and expected to be the 2nd business day after the valuation date), 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” in the accompanying product supplement.
|
|
Principal at Risk:
|
You may lose all or a substantial portion of your investment at maturity if there is a percentage decrease from the initial price to the final price of more than 10.00%.
|
|
Purchase at amount other than
principal amount:
|
The amount we will pay you on the maturity date for your notes will not be adjusted based on the original issue 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, it could affect your investment in a number of ways. The return on your investment in such notes will be lower (or higher) than it would have been had you
purchased the notes at the principal amount. Also, if you purchased the notes at a premium to the principal amount and if the final price is less than the threshold price, 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. Additionally, the threshold settlement amount and maximum payment amount will permit a lower (or higher) positive return than indicated below,
relative to your initial investment. See “Additional Risks — Risks Relating to Estimated Value and Liquidity — 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” in this pricing supplement.
|
|
Fees and Expenses:
|
As part of the distribution of the notes, SCUSA or one of our other affiliates will sell the notes to GS&Co. at a discount reflecting selling commissions of $9.90 per
$1,000 principal amount of notes. GS&Co. proposes initially to offer 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.
A fee will also be paid to iCapital Markets LLC, a broker-dealer in which an affiliate of GS&Co. holds an indirect minority equity interest, for services it is
providing in connection with this offering.
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 above. These costs and profits will likely reduce the secondary market price, if any secondary market develops, for the notes.
As a result, you may experience an immediate and substantial decline in the market value of your notes on the trade date. See “Additional Risks — Risks Relating to Hedging Activities and Conflicts of Interest — 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.
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|
Payment at Maturity:
|
The payment at maturity, for each $1,000 principal amount of notes, will be based on the performance of the reference asset and will be calculated as follows:
o If the final price is equal to or greater than the threshold price: the threshold settlement amount; or
o If the final price is less than the threshold price: $1,000 + [$1,000 × buffer rate × (reference
asset return + threshold amount)]
In this case you will suffer a percentage loss on your principal amount equal to the buffer rate multiplied by the negative reference asset return in excess of the
threshold amount. Accordingly, you could lose up to 100% of your investment in the notes.
|
|
Closing Price:
|
As used herein, the “closing price” of the reference asset on any date will equal the closing sale price or last reported sale price, regular way on a per-share basis, on
the principal national securities exchange on which the reference asset is listed for trading, or, if the reference asset is not quoted on any national securities exchange, on any other market system or quotation system that is the primary
market for the trading of the reference asset.
If the reference asset is not listed or traded as described above, then the closing price for the reference asset on any day will be the average, as determined by the
calculation agent, of the bid prices for the reference asset obtained from as many dealers in the reference asset selected by the calculation agent as will make those bid prices available to the calculation agent. The number of dealers need
not exceed three and may include the calculation agent, the dealer or any of our other affiliates.
|
|
Initial Price:
|
The closing price or an intra-day price of the reference asset on the trade date
If the initial price is an intra-day price, it may be higher or lower than the closing price of the reference asset on the trade date.
|
|
Final Price:
|
The closing price of the reference asset on the valuation date. In certain special circumstances, the final price will be determined by the calculation agent, in its
discretion. See “General Terms of the Notes — Unavailability of the Closing Value of a Reference Asset; Adjustments to a Reference Asset — Adjustments to a Reference ETF”; “General Terms of the Notes — Unavailability of the Closing Value of
a Reference Asset; Adjustments to a Reference Asset — Anti-Dilution Adjustments Relating to a Reference Equity” and “General Terms of the Notes — Market Disruption Events” in the accompanying product supplement.
|
|
Reference Asset Return:
|
The reference asset return, expressed as a percentage, with respect to the payment at maturity, is calculated as follows:
final price – initial price
initial price
For the avoidance of doubt, the reference asset return may be a negative value.
|
|
Threshold Price:
|
90.00% of the initial price
|
|
Threshold Settlement Amount:
|
Expected to be between $1,108.00 and $1,127.00 (to be determined on the trade date) for each $1,000 principal amount of your notes
|
|
Cap Price:
|
Expected to be between 110.80% and 112.70% of the initial price (to be determined on the trade date)
|
|
Maximum Payment Amount:
|
The threshold settlement amount (to be determined on the trade date)
|
|
Threshold Amount:
|
10.00%
|
|
Buffer Rate:
|
The quotient of the initial price divided by the threshold price, expressed as a percentage, which equals approximately 111.11%
|
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Form of Notes:
|
Book-entry
|
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Calculation Agent:
|
Scotia Capital Inc., an affiliate of the Bank
|
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Status:
|
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.
|
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Tax Redemption:
|
The Bank (or its successor) may redeem the notes, in whole but not in part, at a redemption price determined by the calculation agent in a manner reasonably calculated to
preserve your and our relative economic position, if it is determined that changes in tax laws or their interpretation will result in the Bank (or its successor) becoming obligated to pay additional amounts with respect to the notes. See
“Tax Redemption” in the accompanying product supplement.
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Listing:
|
The notes will not be listed on any securities exchange or quotation system
|
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Use of Proceeds:
|
General corporate purposes
|
|
Clearance and Settlement:
|
Depository Trust Company
|
|
Trading Day:
|
A day on which the principal trading market for the reference asset is scheduled to be open for trading
|
|
Business Day:
|
A day other than a Saturday or Sunday or a day on which banking institutions in New York City are authorized or required by law to close
|
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Terms Incorporated:
|
All of the terms appearing above the item under the caption “General Terms of the Notes” in the accompanying product supplement, as modified by this pricing supplement
|
|
Canadian Bail-in:
|
The notes are not bail-inable debt securities under the CDIC Act
|
Investing in the notes involves significant risks. You may lose all or a substantial portion of your investment. 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 up to your entire investment.
ADDITIONAL TERMS OF YOUR NOTES
You should read this pricing supplement together with the prospectus dated December 29, 2021, as supplemented by the prospectus supplement dated December 29, 2021
and the product supplement (Market-Linked Notes, Series A) dated December 29, 2021, relating to our Senior Note Program, Series A, of which these notes are a part. Capitalized terms used but not defined in this pricing supplement will have the
meanings given to them in the product 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
supplement; third, the prospectus supplement; and last, the prospectus. The notes may vary from the terms described in the accompanying prospectus, prospectus supplement and product 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 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 concerning an investment 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 Supplement (Market-Linked Notes, Series A) dated December 29, 2021:
Prospectus Supplement dated December 29, 2021:
Prospectus dated December 29, 2021:
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 investment
|
| • |
You can tolerate a loss of up to 100% of your investment
|
| • |
You are willing to make an investment that, if the final price is less than the threshold price, has an accelerated downside risk greater than the downside market risk of an investment in the reference asset or
in the securities or other assets comprising the reference asset (the “reference asset constituents”)
|
| • |
You believe that the final price of the reference asset will be equal to or greater than the threshold price and that any appreciation of the price of the reference asset is unlikely to exceed the cap on
appreciation within the maximum payment amount (the actual maximum payment amount will be determined on the trade date)
|
| • |
You are willing to hold the notes to maturity, a term of approximately 18 to 21 months, and accept that there may be little or no secondary market for the notes
|
| • |
You understand and accept that your potential payment at maturity is limited to the maximum payment amount and you would be willing to invest in the notes if the maximum payment amount was set equal to the bottom
of the range indicated on the cover hereof (the actual maximum payment amount will be determined on the trade date)
|
| • |
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 price of the reference asset or in the price of the reference asset
constituents
|
| • |
You do not seek current income from your investment and are willing to forgo dividends paid on the reference asset
|
| • |
You seek an investment with exposure to U.S. Treasury bonds
|
| • |
You are willing to assume the credit risk of the Bank for all payments under the notes, and understand that if the Bank defaults on its obligations you may not receive any amounts due to you including any
repayment of principal
|
The notes may not be suitable for you if:
| • |
You do not fully understand or are unwilling to accept the risks inherent in an investment in the notes, including the risk of losing all or a substantial portion of your 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
|
| • |
You are not willing to make an investment that, if the final price is less than the threshold price, has an accelerated downside risk greater than the downside market risk of an investment in the reference asset
or in the reference asset constituents
|
| • |
You believe that the final price of the reference asset will be less than the threshold price, or you believe that the price of the reference asset will appreciate over the term of the notes and that the
appreciation is likely to equal or exceed the cap on appreciation within the maximum payment amount (the actual maximum payment amount will be determined on the trade date)
|
| • |
You seek an investment that has unlimited return potential without a cap on appreciation or you would be unwilling to invest in the notes if the maximum payment amount was set equal to the bottom of the range
indicated on the cover hereof (the actual maximum payment amount will be determined on the trade date)
|
| • |
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 price of the reference asset or in the price of the reference asset
constituents
|
| • |
You seek current income from your investment or prefer to receive dividends paid on the reference asset
|
| • |
You are unable or unwilling to hold the notes to maturity, a term of approximately 18 to 21 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. Treasury bonds
|
| • |
You are not willing to assume the credit risk of the Bank 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 Risks” in this pricing supplement and the “Additional Risk Factors Specific to the Notes” beginning on page PS-6 of the accompanying product supplement and “Risk Factors” beginning on page S-2 of
the accompanying prospectus supplement and on page 7 of the accompanying prospectus for risks related to an investment in the notes.
HYPOTHETICAL PAYMENTS AT MATURITY ON THE NOTES
The examples set out below are included for illustration purposes only. They should not be taken as an indication or prediction of future investment results and
are intended merely to illustrate the impact that the various hypothetical reference asset prices on the valuation date could have on the payment at maturity assuming all other variables remain constant.
The examples below are based on a range of final prices that are entirely hypothetical; the price of the reference asset on any day throughout the term of the
notes, including the final price on the valuation date, cannot be predicted. The reference asset has been highly volatile in the past, meaning that the price 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 notes assuming that they are purchased on the original issue date at the
principal amount and held to the maturity date. If you sell your notes in a secondary market prior to the maturity date, your return will depend upon the market value of your notes at the time of sale, which may be affected by a number of factors
that are not reflected in the examples below, such as interest rates, the volatility of the reference asset and our creditworthiness. In addition, the estimated value of your notes at the time the terms of your notes are set on the trade date (as
determined by reference to pricing models used by us) will be less than the original issue price of your notes. For more information on the estimated value of your notes, see “Additional Risks — Risks Relating to Estimated Value and Liquidity — The
Bank’s initial estimated value of the notes at the time of pricing (when the terms of your notes are set on the trade date) will be lower than the original issue price of the notes” in this pricing supplement. The information in the examples also
reflect the key terms and assumptions in the box below.
|
Key Terms and Assumptions
|
|
Principal amount
|
$1,000
|
|
Threshold settlement amount
|
$1,108.00 for each $1,000 principal amount of your notes*
|
|
Threshold price
|
90.00% of the initial price
|
|
Cap price
|
110.800% of the initial price*
|
|
Threshold amount
|
10.00%
|
|
Buffer rate
|
Approximately 111.11%
|
|
* The lowest threshold settlement amount and cap price, respectively, indicated herein. The actual threshold settlement amount and cap price will be determined on the trade date
Neither a market disruption event nor a non-trading day occurs on the originally scheduled valuation date
|
|
No change in or affecting the reference asset, any of the reference asset constituents, the policies of the reference asset’s investment adviser or the method by which the sponsor of the
reference asset index calculates the reference asset index
|
|
Notes purchased on the original issue date at the principal amount and held to the maturity date
|
Moreover, we have not yet set the initial price that will serve as the baseline for determining the reference asset return or the threshold settlement amount or
cap price, each of which will affect the amount that we will pay on your notes, if any, at maturity. We will not do so until the trade date. As a result, the actual initial price may differ substantially from the price of the reference asset prior
to the trade date.
For these reasons, the actual performance of the reference asset over the term 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 prices of the reference asset shown elsewhere in this pricing supplement. For information about the historical prices of the reference asset, see “Information Regarding the Reference
Asset—Historical Information” herein. You should consult publicly available information to determine the prices of the reference asset between the date of this pricing supplement and the date of your purchase of the notes.
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 or reference asset constituents.
The prices in the left column of the table below represent hypothetical final prices and are expressed as percentages of the initial price. The amounts in the
right column represent the hypothetical payment at maturity, based on the corresponding hypothetical final price, and are expressed as percentages of the principal amount of a note (rounded to the nearest thousandth of a percent). Thus, a
hypothetical payment at maturity of 100.000% means that the value of the cash payment that we would pay for each $1,000 of the outstanding principal amount of the notes on the maturity date would equal 100.000% of the principal amount of a note,
based on the corresponding hypothetical final price and the assumptions noted above.
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Hypothetical Final Price
(as Percentage of Initial Price)
|
Hypothetical Payment at Maturity
(as Percentage of Principal Amount)
|
|
150.000%
|
110.800%
|
|
140.000%
|
110.800%
|
|
130.000%
|
110.800%
|
|
120.000%
|
110.800%
|
|
110.800%
|
110.800%
|
|
109.000%
|
110.800%
|
|
106.000%
|
110.800%
|
|
103.000%
|
110.800%
|
|
100.000%
|
110.800%
|
|
95.000%
|
110.800%
|
|
92.000%
|
110.800%
|
|
90.000%
|
110.800%
|
|
80.000%
|
88.889%
|
|
70.000%
|
77.778%
|
|
60.000%
|
66.667%
|
|
50.000%
|
55.556%
|
|
25.000%
|
27.778%
|
|
0.000%
|
0.000%
|
If, for example, the final price were determined to be 25.000% of the initial price, the payment at maturity that we would pay on your notes at maturity would be approximately
27.778% of the principal amount of your notes, as shown in the table above. As a result, if you purchased your notes on the original issue date at the principal amount and held them to the maturity date, you would lose approximately 72.222% 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 price were determined to be 0.000% of the initial price, you would lose 100.000% of
your investment in the notes. In addition, if the final price were determined to be 150.000% of the initial price, the payment at maturity that we would pay on your notes would be limited to the maximum payment amount, or 110.800% of each $1,000
principal amount of your notes, as shown in the table above. If you hold your notes to maturity, you will not benefit from any increase in the price of the reference asset to a final price that is greater than the cap price.
The following chart shows a graphical illustration of the hypothetical payment at maturity that we would pay on your notes on the maturity date, if the final
price were any of the hypothetical prices shown on the horizontal axis. The hypothetical payments at maturity in the chart are expressed as percentages of the principal amount of your notes and the hypothetical
final prices are expressed as percentages of the initial price. The chart shows that any hypothetical final price of less than 90.000% (the section left of the 90.000% marker on the horizontal axis) would result in a hypothetical payment at
maturity of less than 100.000% of the principal amount of your notes (the section below the 100.000% marker on the vertical axis) and, accordingly, in a loss of principal to the holder of the notes. The chart also shows that any hypothetical
final price of greater than or equal to 90.000% (the section right of the 90.000% marker on the horizontal axis) would result in a capped return on your investment.
The following examples illustrate the calculation of the payment at maturity based on the key terms and assumptions above. The amounts below have been rounded for ease of analysis.
|
Example 1—
|
Calculation of the payment at maturity where the reference asset return is positive (and the final price is greater than the cap price).
|
| |
|
| |
Reference Asset Return:
|
50.00%
|
| |
|
|
| |
Payment at Maturity:
|
$1,000.00 + ($1,000.00 × 10.80%) = $1,000.00 + $108.00 = $1,108.00
|
| |
|
|
| |
On a $1,000.00 investment, a reference asset return of 50.00% results in a payment at maturity of the threshold settlement amount, equal to $1,108.00.
|
| |
|
|
Example 2—
|
Calculation of the payment at maturity where the reference asset return is positive (and the final price is less than the cap price).
|
| |
|
| |
Reference Asset Return:
|
5.00%
|
| |
|
|
| |
Payment at Maturity:
|
$1,000.00 + ($1,000.00 × 10.80%) = $1,000.00 + $108.00 = $1,108.00
|
| |
|
|
| |
On a $1,000.00 investment, a reference asset return of 5.00% results in a payment at maturity of the threshold settlement amount, equal to $1,108.00.
|
| |
|
|
Example 3—
|
Calculation of the payment at maturity where the reference asset return is negative but is equal to or greater than -10.00%.
|
| |
|
| |
Reference Asset Return:
|
-5.00%
|
| |
|
|
| |
Payment at Maturity:
|
$1,000.00 + ($1,000.00 × 10.80%) = $1,000.00 + $108.00 = $1,108.00
|
| |
|
|
| |
On a $1,000.00 investment, a reference asset return of -5.00% results in a payment at maturity of the threshold settlement amount, equal to $1,108.00.
|
| |
|
|
Example 4—
|
Calculation of the payment at maturity where the reference asset return is negative and is less than
-10.00%.
|
| |
|
| |
Reference Asset Return:
|
-50.00%
|
| |
|
|
| |
Payment at Maturity:
|
$1,000.00 + [$1,000.00 × 111.11% × (-50.00% + 10.00%)] = $1,000.00 - $444.44 = $555.56
|
| |
|
|
| |
On a $1,000.00 investment, a reference asset return of -50.00% results in a payment at maturity of $555.56.
Accordingly, if the reference asset return is less than -10.00%, the Bank will pay you less than the full principal amount, resulting in a
percentage loss on your investment that is equal to the buffer rate multiplied by the negative reference asset return in excess of the threshold amount. You may lose up to 100% of your principal
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 up to your entire investment.
The payments at maturity shown above are entirely hypothetical; they are based on a hypothetical threshold settlement amount, hypothetical prices of the reference asset that may
not be achieved on the valuation date and on assumptions that may prove to be erroneous. The actual market value of your notes on the maturity date or at any other time, including any time you may wish to sell your notes, may bear little relation
to the hypothetical payments at maturity shown above, and these amounts should not be viewed as an indication of the financial return on an investment in the notes. The hypothetical payments at maturity on the notes held to the maturity date in the
examples above assume you purchased your notes at their principal amount and have not been adjusted to reflect the actual original issue price you pay for your notes. The return on your investment (whether positive or negative) in your notes will
be affected by the amount you pay for your notes. If you purchase your notes for a price other than the principal amount, the return on your investment will differ from, and may be significantly lower than, the hypothetical returns suggested by the
above examples. Please read “Additional Risks — Risks Relating to Estimated Value and Liquidity — 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” in this pricing supplement.
Payments on the notes are economically equivalent to the amounts that would be paid on a combination of other instruments. For example, payments on the notes are economically
equivalent to a combination of a non- interest-bearing bond bought by the holder and one or more options entered into between the holder and us (with one or more implicit option premiums paid over time). The discussion in this paragraph does not
modify or affect the terms of the notes or the U.S. federal income tax treatment of the notes, as described elsewhere in this pricing supplement.
| |
We cannot predict the actual final price or what the market value of your notes will be on any particular trading day, nor can we
predict the relationship between the price of the reference asset and the market value of your notes at any time prior to the maturity date. The actual amount that you will receive, if any, at maturity and the rate of return on the notes
will depend on the actual initial price, threshold settlement amount, maximum payment amount and cap price, each of which we will set on the trade date, and the actual final price to be determined by the calculation agent as described
above. Moreover, the assumptions on which the hypothetical returns are based may turn out to be inaccurate. Consequently, the amount of cash to be paid in respect of your notes, if any, on the maturity date may be very different from the
information reflected in the examples above.
|
|
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 supplement and “Risk Factors” beginning on page S-2 of the accompanying prospectus supplement and page 7 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, prospectus supplement and product supplement.
Risks Relating to Return Characteristics
Risk of loss at maturity
You may lose up to your entire investment in the notes. Any payment on the notes at maturity depends on the reference asset return. The Bank will only repay you the full principal
amount of your notes if the reference asset return is equal to or greater than -10.00%. If the reference asset return is less than -10.00%, you will have a loss for each $1,000 principal amount of your notes equal to the product of (i) the buffer rate times (ii) the sum of the reference asset return plus the threshold amount
times (iii) $1,000. Accordingly, you may lose up to your entire investment in the notes if the percentage decline from the initial price to the final price is greater than
10.00%.
The downside market exposure to the reference asset is buffered only at maturity
You should be willing to hold your notes to maturity. If you are able to sell your notes prior to maturity in the secondary market, you may have to sell them at a loss relative to
your initial investment even if the price of the reference asset at such time is equal to or greater than the threshold price.
Your potential payment at maturity is limited to the maximum payment amount
The payment at maturity will not exceed the maximum payment amount. Therefore, if the appreciation of the price of the reference asset exceeds the cap on appreciation in the maximum
payment amount, the notes will provide less opportunity to participate in the appreciation of the reference asset than an investment in a security linked to the price of the reference asset providing full participation in the appreciation.
Accordingly, the return on the notes may be less than the return would be if you made an investment in a security directly linked to the positive performance of the reference asset.
The initial price of the reference asset may be based on an intra-day price of the reference asset, which may be higher or lower than the closing price of the
reference asset on the trade date.
The initial price of the reference asset will be its closing price or an intra-day price of the reference asset on the trade date. If the initial price of the reference asset is an
intra-day price, it may be higher or lower than the closing price of the reference asset on the trade date. All things being equal, a higher initial price (relative to its closing price on the trade date) increases the likelihood of a lower return
on the notes.
The notes differ from conventional debt instruments
The notes are not conventional notes or debt instruments. The notes do not provide you with interest payments prior to maturity as a conventional fixed-rate or floating-rate debt
security with the same maturity would. The return that you will receive on the notes, which could be negative, may be less than the return you could earn on other investments. Even if your return is positive, your return may be less than the return
you would earn if you bought a conventional, interest-bearing senior debt security of the Bank.
No interest
The notes will not bear interest and, accordingly, you will not receive any interest payments on the notes.
The threshold settlement amount applies only at maturity
You should be willing to hold your notes to maturity. If you are able to sell your notes prior to maturity in the secondary market, the price you receive per $1,000 principal amount
will likely not reflect the full economic value of the threshold settlement amount or the notes themselves, and the return you realize may be less than that provided by the threshold settlement amount, even if such return is positive. You may
receive the full benefit of the threshold settlement amount only if you hold your notes to maturity.
The payment at maturity is not linked to the price of the reference asset at any time other than the valuation date (except in the case of tax redemptions)
The payment at maturity will be based on the final price. Therefore, for example, if the closing price of the reference asset declined substantially as of the valuation date compared
to the trade date, the payment at maturity may be significantly less than it would otherwise have been had the payment at maturity been linked to the closing prices of the reference asset prior to the valuation date. Although the actual price of
the reference asset at maturity or at other times during the term of the notes may be higher than the final price, you will not benefit from the closing prices of the reference asset at any time other than the valuation date (except in the case of
tax redemptions as described further under “Tax Redemption” in the accompanying product supplement).
Holding the notes is not the same as holding shares of the reference asset or the reference asset constituents
Holding the notes is not the same as holding shares of the reference asset or the reference asset constituents. As a holder of the notes, you will not be entitled to the voting
rights or rights to receive dividends, interest payments or other distributions or other rights that holders of shares of the reference asset or the reference asset constituents would enjoy. Further, the return on your notes may not reflect the
return you would realize if you actually owned shares of the reference asset or if you owned the reference asset constituents. For instance, your potential payment at maturity is limited to the maximum payment amount and you will not participate in
any appreciation of the reference asset or the reference asset constituents.
The return on your notes will not reflect any dividends paid on the reference asset
The return on your notes will not reflect the return you would realize if you actually owned the reference asset and received the distributions paid on the shares of the reference
asset. You will not receive any dividends that may be paid on the shares of the reference asset. See “— Holding the notes is not the same as holding shares of the
reference asset or the reference asset constituents” herein for additional information.
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
The payment at maturity will not be adjusted based on the original issue price you pay for the notes. If you purchase notes at a price that differs from the principal amount of the
notes, then the return on your investment in such notes held to the maturity date will differ from, and may be substantially less than, the return on notes purchased at the principal amount. If you purchase your notes at a premium to the principal
amount and hold them to the maturity date, the return on your investment in the notes will be lower than it would have been had you purchased the notes at the principal amount or at a discount to the principal amount. In addition, the impact of the
threshold price, the threshold settlement amount and the maximum payment amount on the return on your investment will depend upon the price you pay for your notes relative to the principal amount. For example, if you purchase your notes at a
premium to the principal amount, the threshold settlement amount and maximum payment amount will permit a lower positive return on your investment in the notes than would have been the case for notes purchased at the principal amount or a discount
to the principal amount. Similarly, if the final price is less than the threshold price, you will incur a greater percentage decrease in your investment in the notes than would have been the case for notes purchased at the principal amount or a
discount to the principal amount.
Risks Relating to Characteristics of the Reference Asset
The notes are subject to market risk
The return on the notes is directly linked to the performance of the reference asset and indirectly linked to the performance of the reference asset constituents, and the extent to
which the reference asset return is positive or negative. The price of the reference asset can rise or fall sharply due to factors specific to the reference asset, the reference asset constituents and its investment adviser (as defined in
“Information Regarding the Reference Asset”), as well as general market factors, such as general market volatility and prices, interest rates and economic, political and other conditions.
There is no assurance that the investment view implicit in the notes will be successful
It is impossible to predict with certainty whether and the extent to which the price of the reference asset will rise or fall. There can be no assurance that the price of the
reference asset will rise above the initial price or that the percentage decline from the initial price to the final price will not be greater than the threshold amount. The final price may be influenced by complex and interrelated political,
economic, financial and other factors that affect the price of the reference asset constituents. You should be willing to accept the risks of the price performance of the reference asset and the reference asset constituents and the risk of losing
some or all of your investment in the notes.
Furthermore, we cannot give you any assurance that the future performance of the reference asset or the reference asset constituents will result in your receiving an amount greater
than or equal to the principal amount of your notes. Certain periods of historical performance of the reference asset or the reference asset constituents would have resulted in you receiving less than the principal amount of your notes if you had
owned notes with terms similar to these notes in the past. See “Information Regarding the Reference Asset” in this pricing supplement for further information regarding the historical performance of the reference asset.
Investors should investigate the reference asset and the reference asset constituents as if making a direct investment in the reference asset or the reference
asset constituents
Investors should conduct their own diligence of the reference asset and reference asset constituents as an investor would if it were making a direct investment in the reference asset
or the reference asset constituents. Neither we nor any of our affiliates have participated in the preparation of any publicly available information or made any “due diligence” investigation or inquiry with respect to the reference asset or the
reference asset constituents. Furthermore, we cannot give any assurance that all events occurring prior to the original issue date have been properly disclosed. Subsequent disclosure of any such events or the disclosure or failure to disclose
material future events concerning the reference asset or the reference asset constituents could affect any payment at maturity. Investors should not conclude that the sale by the Bank of the notes is any form of investment recommendation by the
Bank or any of its affiliates to invest in securities linked to the performance of the reference asset or the reference asset constituents.
There is no assurance as to the performance of the reference asset or the reference asset constituents; past performance of the reference asset or the reference
asset constituents should not be taken as an indication of the future performance of the reference asset or the reference asset constituents
The notes are linked directly to the price of the reference asset and indirectly to the prices of the reference asset constituents, which are speculative and involve a high degree of
risk. None of the Bank, the calculation agent, GS&Co. or any of our other or their respective affiliates gives any assurance as to the performance of the reference asset or the reference asset constituents. Investors should not conclude that
the sale by the Bank of the notes is an investment recommendation by it or by any of the other entities mentioned above to invest in securities linked to the performance of the reference asset or the reference asset constituents. Investors should
consult with their own financial advisors as to whether an investment in the notes is appropriate for them. Past performance of the reference asset and the reference asset constituents should not be taken as a guarantee or assurance of the future
performance of the reference asset or the reference asset constituents, and it is impossible to predict whether the price of the reference asset or the reference asset constituents will rise or fall during the term of the notes.
Changes affecting the reference asset index could have an adverse effect on the market value of, and return on, the notes
The sponsor of the reference asset index owns the reference asset index and is responsible for the design and maintenance of the reference asset index. The policies of the sponsor
concerning the calculation of the reference asset index, including decisions regarding the addition, deletion or substitution of the securities included in the reference asset index, could affect
the price of the reference asset index and, consequently, could affect the market price of shares of the reference asset and, therefore, the amount payable on the notes. The sponsor
may discontinue or suspend calculation or dissemination of the reference asset index. Any such actions could have a material adverse effect on the market value of, and return on, your notes.
The Bank cannot control actions by the sponsor of the reference asset index and the sponsor has no obligation to consider your interests
The Bank and its affiliates are not affiliated with the sponsor of the reference asset index and have no ability to control or predict its actions, including
any errors in or discontinuation of public disclosure regarding methods or policies relating to the calculation of the reference asset index. The sponsor is not involved in the notes offering in any way and
has no obligation to consider your interest as an owner of the notes in taking any actions that might negatively affect the market value of, and return on, your notes.
The Bank cannot control actions by the investment adviser that may adjust the reference asset in a way that could adversely affect any payment on the notes and
their market value, and the investment adviser has no obligation to consider your interests
The investment adviser may from time to time be called upon to make certain policy decisions or judgments with respect to the implementation of its policies concerning the
calculation of the net asset value of the reference asset, additions, deletions or substitutions of the reference asset constituents and the manner in which changes affecting the reference asset index are reflected in the reference asset that could
affect the market price of the shares of the reference asset, and therefore, the amount payable on your notes on the maturity date. The amount payable on your notes and their market value could also be affected if the investment adviser changes
these policies, for example, by changing the manner in which it calculates the net asset value of the reference asset, or if the investment adviser discontinues or suspends calculation or publication of the net asset value of the reference asset,
in which case it may become difficult or inappropriate to determine the market value of your notes. If events such as these occur, the calculation agent may determine the closing price of the reference asset on the valuation date, and thus any
amount payable on the maturity date, in a manner it considers appropriate.
Your investment is subject to concentration risks
The reference asset invests in U.S. Treasury bonds that are all obligations of the United States with a similar remaining time to maturity. As a result, the reference asset is
concentrated in the performance of bonds issued by a single issuer and having the same general tenor and terms. Although your investment in the notes will not result in the ownership or other direct interest in the U.S. Treasury bonds held by the
reference asset, the return on your investment in the notes will be subject to certain risks similar to those associated with direct investment in a U.S. Treasury bonds. This increases the risk that any downgrade of the credit ratings of the U.S.
government from its current ratings, any increase in risk that the U.S. Treasury may default on its obligations by the market (whether for credit or legislative process reasons) or any other market events that create a decrease in demand for U.S.
Treasury bonds would significantly adversely affect the reference asset. In addition, to the extent that any such decrease in demand is more concentrated in the particular U.S. Treasury bond maturities owned by the reference asset, the reference
asset could be severely affected.
The reference asset may change in unexpected ways
The reference asset index to which the reference asset is linked tends to have very limited public disclosure about the reference asset index. The sponsor of the reference asset index retains discretion to make changes
to the reference asset index at any time. The lack of detailed information about the reference asset index and how its constituents may change in the future creates the risk that the reference asset index could change in the future to perform
much differently from the way it would perform if such changes were not made. If the reference asset index is changed in unexpected ways, the reference asset would similarly change to better reflect the reference asset index. The performance of
the reference asset could be adversely affected in that case, which could adversely affect your investment in the notes.
Your investment is subject to income risk and interest rate risk
The reference asset’s income may decline when interest rates fall. This decline can occur because the reference asset must invest in lower-yielding bonds as bonds in its portfolio fall outside the time to maturity
limits required by the reference asset’s investment objective or are called, bonds in the reference asset index are substituted or the reference asset otherwise needs to purchase additional bonds. In addition, an increase in interest rates may
cause the value of the fixed rate bonds held by the reference asset to decrease, may lead to heightened volatility in the fixed income markets and may adversely affect the liquidity of certain fixed income bonds. Notes with longer durations tend
to be more sensitive to interest rate changes, usually making them more volatile than notes with shorter durations. If any of these events occur, the shares of the reference asset invested in bonds and the amount payable on your notes could be
adversely affected.
There are risks associated with a reference asset that is an exchange-traded fund
Although the reference asset’s shares are listed for trading on a national securities exchange and a number of similar products have been traded on national securities exchanges for varying periods of time, there is no
assurance that an active trading market will continue for the shares of the reference asset or that there will be liquidity in the trading market. In addition:
Management Risk
The reference asset is subject to management risk, which is the risk that the investment adviser’s investment strategy, the implementation of which is subject to a number of
constraints, may not produce the intended results. The reference asset is also not actively managed and may be affected by a general decline in market segments relating to the reference asset index. The investment adviser invests in securities
included in, or representative of, the reference asset index regardless of their investment merits. The investment adviser does not attempt to take defensive positions in declining markets. Accordingly, the performance of the reference asset could
be lower than other types of funds that may actively shift portfolio assets to take advantage of market opportunities or to lessen the impact of a market decline.
Custody and Liquidity Risk
Under continuous listing standards adopted by the exchange on which shares of the reference asset trade, the reference asset will be required to confirm on an ongoing basis that the
components of the reference asset index satisfy the applicable listing requirements. In the event that the reference asset index does not comply with the applicable listing requirements, the reference asset would be required to rectify such
non-compliance by requesting that the sponsor of the reference asset index modify such reference asset index, adopting a new reference asset index or obtain relief from the SEC. There can be no assurance that such sponsor would so modify the
reference asset index or that relief would be obtained from the SEC and, therefore, non-compliance with the continuous listing standards may result in the reference asset being delisted by the exchange on which its shares trade.
Tracking and Underperformance Risk
The reference asset uses a representative sampling strategy (as more fully described under “Information Regarding the Reference Asset” herein) to attempt to track the performance of
the reference asset index. The reference asset may not hold all or substantially all of the securities included in the reference asset index and may hold securities or assets not included in the reference asset index. Therefore, while the
performance of the reference asset is generally linked to the performance of the reference asset index, the performance of the reference asset is also linked in part to shares of securities not included in the reference asset index and to the
performance of other assets, such as futures contracts, options, swaps and other types of derivatives, as well as cash and cash equivalents, including shares of money market funds affiliated with the investment adviser.
In addition, the performance of the reference asset will reflect additional transaction costs and fees that are not included in the calculation of the reference asset index. Finally,
because the shares of the reference asset are traded on a securities exchange and are subject to market supply and investor demand, the market value of one share of the reference asset may differ from the net asset value per share of the reference
asset.
For all of the foregoing reasons, the performance of the reference asset may not correlate with the performance of the reference asset index. Consequently, the return on the notes will not be the same as investing
directly in the reference asset or in the reference asset constituents or in the reference asset index or in the securities comprising the reference asset index, and will not be the same as investing in a debt security with payments linked to the
performance of the reference asset index. This variation in performance is called “tracking error” and, at times, the tracking error may be significant.
Risks Relating to Estimated Value and Liquidity
The Bank’s initial estimated value of the notes at the time of pricing (when the terms of your notes are set on the trade date) will be lower than the original issue price of the notes
The Bank’s initial estimated value of the notes is only an estimate. The original issue price of the notes will exceed 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. Therefore, the economic terms of the notes are less favorable to you than they would have
been had these expenses not been paid or been lower.
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 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.
The Bank’s initial estimated value of the notes does not represent future values of the notes and may differ from others’ (including GS&Co.’s) estimates
The Bank’s initial estimated value of the notes is determined by reference to its internal pricing models when the terms of the notes are 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.
If the prices of the reference asset or the reference asset constituents change, the market value of your notes may not change in the same manner
Your notes may trade quite differently from the performance of the reference asset or the reference asset constituents. Changes in the prices of the reference asset or the reference
asset constituents may not result in a comparable change in the market value of your notes. We discuss some of the reasons for this disparity under “— 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” herein.
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
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” herein) 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” herein. Thereafter, if GS&Co. buys or sells your notes it will do so at prices that reflect the estimated value determined by 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” herein.
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.
There is no assurance that GS&Co. or any other party will be willing to purchase your notes at any price and, in this regard, GS&Co. is not obligated to make a market in the
notes. See “— The notes lack liquidity” herein.
The market value of the notes may be influenced by many unpredictable factors
When we refer to the market value of your notes, we mean the value that you could receive for your notes if you chose to sell them in the open market before the stated maturity date.
A number of factors, many of which are beyond our control, will influence the market value of your notes, including:
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the price of the reference asset;
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the volatility – i.e., the frequency and magnitude of changes – in the closing price of the reference asset;
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the dividend rate of the reference asset;
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economic, financial, political, military, regulatory, legal, public health and other events that affect the applicable securities markets generally and which may affect the prices of the reference asset
constituents and the closing price of the reference asset;
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interest rate and yield rates in the market;
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the time remaining until your notes mature; and
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our creditworthiness, whether actual or perceived, and including actual or anticipated upgrades or downgrades in our credit ratings or changes in other credit measures.
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These factors may influence the market value of your notes if you sell your notes before maturity, including the price you may receive for your notes in any market making
transaction. If you sell your notes prior to maturity, you may receive less than the principal amount of your notes. You cannot predict the future performance of the reference asset based on its historical performance.
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
The price at which the notes may be sold prior to maturity will depend on a number of factors. Some of these factors include, but are not limited to: (i) actual or anticipated
changes in the price of the reference asset over the full term of the notes, (ii) volatility of the price of the reference asset and the market’s perception of future volatility of the price of the reference asset, (iii) changes in interest rates
generally, (iv) any actual or anticipated changes in our credit ratings or credit spreads and (v)
time remaining to maturity. In particular, because the provisions of the notes relating to the payment at maturity behave like options, the value of the
notes will vary in ways which are non-linear and may not be intuitive. Depending on the actual or anticipated price of the reference asset and other relevant factors, the market value of the notes may decrease and you may receive substantially
less than 100% of the issue price if you sell your notes prior to maturity.
See “— The market value of the notes may be influenced by many unpredictable factors” herein.
The notes lack liquidity
The notes will not be listed on any securities exchange or automated quotation system. Therefore, there may be little or no secondary market for the notes.
SCUSA, any other affiliates of the Bank and GS&Co. may, but are not obligated to, make a market in the notes. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the notes easily. Because we
do not expect that other broker-dealers will participate significantly in the secondary market for the notes, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which SCUSA and GS&Co. are
willing to purchase the notes from you. If at any time SCUSA and GS&Co. were not to make a market in the notes, it is likely that there would be no secondary market for the notes. Accordingly, you should be willing to hold your notes to
maturity.
Risks Relating to Hedging Activities and Conflicts of Interest
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
The Bank, GS&Co. or one or more of our or their respective affiliates has hedged or expects to hedge the obligations under the notes by purchasing futures and/or other
instruments linked to the reference asset. The Bank, GS&Co. or one or more of our or their respective affiliates also expects to adjust the hedge by, among other things, purchasing or selling any of the foregoing, and perhaps other instruments
linked to the reference asset and/or one or more of the reference asset constituents, at any time and from time to time, and to unwind the hedge by selling any of the foregoing on or before the valuation date.
The Bank, GS&Co. or one or more of our or their respective affiliates may also enter into, adjust and unwind hedging transactions relating to other equity-linked notes whose
returns are linked to changes in the price of the reference asset or the reference asset constituents. Any of these hedging activities may adversely affect the price of the reference asset, including the initial price of the reference
asset—directly or indirectly by affecting the price of the reference asset constituents — and therefore the market value of the notes and the amount you will receive, if any, on the notes. Because the dealer, or an affiliate, from which you
purchase notes is to conduct hedging activities for us in connection with the notes, that dealer or affiliate may profit in connection with such hedging activities and such profit, if any, will be in addition to the compensation that the dealer or
affiliate receives for the sale of the notes to you. You should be aware that the potential to earn fees in connection with hedging activities may create a further incentive for the dealer to sell the notes to you in addition to the compensation
they would receive for the sale of the notes. In addition, you should expect that these transactions will cause the Bank, GS&Co. or our or their respective affiliates, or our or their respective clients or counterparties, to have economic
interests and incentives that do not align with, and that may be directly contrary to, those of an investor in the notes. The Bank, GS&Co. or our or their respective affiliates will have no obligation to take, refrain from taking or cease
taking any action with respect to these transactions based on the potential effect on an investor in the notes, and may receive substantial returns with respect to these hedging activities while the market value of, and return on, the notes may
decline.
The Bank, SCUSA, GS&Co. and our or their respective affiliates regularly provide services to, or otherwise have business relationships with, a broad client
base, which has included and may include us and the issuers of the reference asset constituents and the market activities by the Bank, GS&Co. or our or their respective affiliates for our or their own respective accounts or for our or their
respective clients could negatively impact investors in the notes
We, GS&Co. and our or their respective affiliates regularly provide a wide range of financial services, including financial advisory, investment advisory and transactional
services to a substantial and diversified client base. As such, we each may act as an investor, investment banker, research provider, investment manager, investment adviser, market maker, trader, prime broker or lender. In those and other
capacities, we, GS&Co. and/or our or their respective affiliates purchase, sell or hold a broad array of investments, actively trade securities (including the notes or other securities that we have issued), the reference asset constituents,
derivatives, loans, credit default swaps, indices, baskets and other financial instruments and products for our or their own respective accounts or for the accounts of our or their respective customers, and we will have other direct or indirect
interests, in those securities and in other markets that may not be consistent with your interests and
may adversely affect the price of the reference asset and/or the value of the notes. You should assume that we or they will, at present or in the future, provide such services or
otherwise engage in transactions with, among others, us and the issuers of the reference asset constituents, or transact in securities or instruments or with parties that are directly or indirectly related to these entities. These services could
include making loans to or equity investments in those entities, providing financial advisory or other investment banking services, or issuing research reports. Any of these financial market activities may, individually or in the aggregate, have an
adverse effect on the price of the reference asset, including the initial price of the reference asset, and the market for your notes, and you should expect that our interests and those of GS&Co. and/or our or their respective affiliates,
clients or counterparties, will at times be adverse to those of investors in the notes.
You should expect that we, GS&Co. and our or their respective affiliates, in providing these services, engaging in such transactions, or acting for our or their own respective accounts, may take actions that have
direct or indirect effects on the notes or other securities that we may issue, the reference asset constituents or other securities or instruments similar to or linked to the foregoing, and that such actions could be adverse to the interests of
investors in the notes. In addition, in connection with these activities, certain personnel within the Bank, GS&Co. or our or their respective affiliates may have access to confidential material non-public information about these parties that
would not be disclosed to investors in the notes.
We, GS&Co. and our or their respective affiliates regularly offer a wide array of securities, financial instruments and other products into the marketplace, including existing or
new products that are similar to the notes or other securities that we may issue, the reference asset constituents or other securities or instruments similar to or linked to the foregoing. Investors in the notes should expect that the Bank,
GS&Co. and our or their respective affiliates offer securities, financial instruments, and other products that may compete with the notes for liquidity or otherwise.
Other investors in the notes may not have the same interests as you
The interests of other investors may, in some circumstances, be adverse to your interests. Other investors may make requests or recommendations to us, SCUSA, GS&Co. or our or
their respective affiliates, regarding the establishment of transactions on terms that are adverse to your interests, and investors in the notes are not required to take into account the interests of any other investor in exercising remedies,
voting or other rights in their capacity as noteholders. Further, other investors may enter into market transactions with respect to the notes, assets that are the same or similar to the notes, assets referenced by the notes (such as stocks or
stock indices) or other similar assets or securities which may adversely impact the market for or value of your notes. For example, an investor could take a short position (directly or indirectly through derivative transactions) in respect of
securities similar to your notes or in respect of the reference asset or the reference asset constituents.
There is no affiliation between the issuers of any reference asset constituent, the sponsor or the investment adviser and us, SCUSA or GS&Co.
The Bank, SCUSA, GS&Co. and our or their respective affiliates may currently, or from time to time in the future, engage in business with the issuers of the reference asset
constituents or the sponsor of the reference asset index or the investment adviser. None of the Bank, SCUSA or any of our other affiliates, or GS&Co. or its affiliates have participated in the preparation of any publicly available information
or made any “due diligence” investigation or inquiry with respect to the reference asset or the reference asset constituents. You should make your own investigation into the reference asset and the issuers of the reference asset constituents. See
the section below entitled “Information Regarding the Reference Asset” in this pricing supplement for additional information about the reference asset.
There are potential conflicts of interest between you and the calculation agent
Scotia Capital Inc., the calculation agent, is one of our affiliates. In performing its duties, the economic interests of the calculation agent are potentially adverse to your
interests as an investor in the notes, including in its determination of the initial price of the reference asset as discussed under “— Risks Relating to Return Characteristics — The initial price of the reference asset may be based on an intra-day
price of the reference asset, which may be higher or lower than the closing price of the reference asset on the trade date”. The calculation agent is under no obligation to consider your interests as a holder of the notes in taking any actions that
might affect the price of the reference asset and the value of, and return on, the notes.
The calculation agent can postpone the valuation date for the notes if a non-trading day or a market disruption event with respect to the reference asset occurs
If the calculation agent determines, in its sole discretion, that, on a day that would otherwise be the valuation date, a market disruption event with respect to the reference asset has occurred or is continuing or
that day is not a trading day with respect
to the reference asset, the valuation date will be postponed until the first following trading day on which no market disruption event occurs or is continuing, although the valuation date will not be postponed by
more than eight trading days. Moreover, if the valuation date is postponed to the last possible day, but a market disruption event occurs or is continuing on that day or that day is not a trading day, that day will nevertheless be the valuation
date, and the calculation agent will determine the applicable final price that must be used to determine the payment at maturity. See “General Terms of the Notes — Unavailability of the Closing Value of a Reference Asset; Adjustments to a
Reference Asset — Adjustments to a Reference ETF” and “General Terms of the Notes — Market Disruption Events” in the accompanying product supplement.
The calculation agent can make anti-dilution and reorganization adjustments that affect the payment at maturity
For anti-dilution and reorganization events affecting the reference asset, the calculation agent may make adjustments to the initial price and/or the final price, as applicable, and any other term of the notes.
However, the calculation agent will not make an adjustment in response to every corporate event that could affect the reference asset. If an event occurs that does not require the calculation agent to make an adjustment, the value of the notes
and your payment at maturity may be materially and adversely affected. In addition, determinations and calculations concerning any such adjustments will be made by the calculation agent. You should be aware that the calculation agent may make any
such adjustment, determination or calculation in a manner that differs from that discussed in the accompanying product supplement or herein as necessary to achieve an equitable result. The occurrence of any anti-dilution or reorganization event
and the consequent adjustments may materially and adversely affect the value of the notes and your payment at maturity, if any. See “General Terms of the Notes — Unavailability of the Closing Value of a Reference Asset; Adjustments to a Reference
Asset — Anti-Dilution Adjustments Relating to a Reference Equity” in the accompanying product supplement.
Following a de-listing, liquidation or termination of the ETF, the payment at maturity may be based on a share of another ETF or calculated by a computation methodology that the
calculation agent determines will as closely as reasonably possible replicate the ETF. See “General Terms of the Notes — Unavailability of the Closing Value of a Reference Asset; Adjustments to a Reference Asset — Adjustments to a Reference ETF” in
the accompanying product supplement.
Risks Relating to General Credit Characteristics
Your investment is subject to the credit risk of the Bank
The notes are senior unsecured debt obligations of the Bank, and are not, either directly or indirectly, an obligation of any third party. As further described in the accompanying
prospectus, prospectus supplement and product supplement, the notes will rank on par with all of the other unsecured and unsubordinated debt obligations of the Bank, except such obligations as may be preferred by operation of law. Any payment to be
made on the notes, including the payment at maturity, depends on the ability of the Bank to satisfy its obligations as they come due. As a result, the actual and perceived creditworthiness of the Bank may affect the market value of the notes and,
in the event the Bank were to default on its obligations, you may not receive the amounts owed to you under the terms of the notes. If you sell the notes prior to maturity, you may receive substantially less than the principal amount of your notes.
Risks Relating to Canadian and U.S. Federal Income Taxation
Uncertain tax treatment
Significant aspects of the tax treatment of the notes are uncertain. You should consult your tax advisor about your tax situation. See “Material Canadian Income Tax Consequences” and
“Material U.S. Federal Income Tax Consequences” in this pricing supplement.
General Risk Factors
We may sell an additional aggregate principal amount of the notes at a different issue price
We may decide to sell an additional aggregate principal amount of the notes subsequent to the date of the final pricing supplement. The issue price 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.
INFORMATION REGARDING THE REFERENCE ASSET
The iShares® 20+ Year Treasury Bond ETF
The shares of the iShares® 20+ Year Treasury Bond ETF (the “reference asset”) are issued by iShares® Trust (the “trust”), a registered
investment company.
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The reference asset is an exchange-traded fund that seeks investment results which correspond generally to the price and yield performance, before fees and expenses, of the ICE® U.S. Treasury 20+ Year
Bond Index (the “reference asset index”). The reference asset index measures the performance of public obligations of the U.S. Treasury that have a remaining maturity greater than or equal to twenty years.
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The return on your notes is linked to the performance of the reference asset, and not to that of the reference asset index on which the reference asset is based. The reference asset follows a strategy of
“representative sampling,” which means the reference asset’s holdings are not the same as those of its reference asset index. The performance of the reference asset may significantly diverge from that of its reference asset index.
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The reference asset’s investment advisor is BlackRock Fund Advisors (the “investment adviser”).
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The reference asset’s shares trade on the Nasdaq Global Markets under the ticker symbol “TLT”.
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The trust’s SEC CIK Number is 0001100663.
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The reference asset’s inception date was July 22, 2002.
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Where Information About the Reference Asset Can Be Obtained
Information filed by the trust with the U.S. Securities and Exchange Commission (“SEC”) electronically can be reviewed through a website maintained by the SEC.
The address of the SEC’s website is sec.gov. Information filed with the SEC by the trust, including its reports to shareholders, can be located by referencing its CIK number referred to above.
In addition, information regarding the reference asset (including its fees and top ten holdings and weights) may be obtained from other sources including, but
not limited to, press releases, newspaper articles, other publicly available documents, and the reference asset’s website. We are not incorporating by reference the website, the sources listed above or any material they include in this pricing
supplement.
We do not make any representation or warranty as to the accuracy or completeness of any materials referred to above, including any filings made by the trust
with the SEC.
We Obtained the Information About the Reference Asset From the Trust’s Publicly Available Information
This pricing supplement relates only to your note and does not relate to the reference asset. We have derived all information about the reference asset in this
pricing supplement from the publicly available information referred to in the preceding subsection. We have not participated in the preparation of any of those documents or made any “due diligence” investigation or inquiry with respect to the
reference asset in connection with the offering of your note. Furthermore, we do not know whether all events occurring before the date of this pricing supplement — including events that would affect the accuracy or completeness of the publicly
available documents referred to above and the trading price of shares of the reference asset — have been publicly disclosed. Subsequent disclosure of any events of this kind or the disclosure of or failure to disclose material future events
concerning the reference asset could affect the value you will receive at maturity and, therefore, the market value of your note.
Neither we nor any of our affiliates make any representation to you as to the performance of the reference asset.
We or any of our affiliates may currently or from time to time engage in business with the trust, including making loans to or equity investments in the trust or providing advisory services to the trust, including
merger and acquisition advisory services. In the course of that business, we or any of our affiliates may acquire non-public information about the trust and, in addition, one or more of our affiliates may publish research reports about the
reference asset. As an investor in a note, you should undertake such independent investigation of the trust as in your judgment is appropriate to make an informed decision with respect to an investment in a note.
Historical Information
We obtained the information regarding the historical performance of the reference asset in the graph below from Bloomberg, without independent review or
verification. The graph below illustrates the performance of the reference asset from January 1, 2019 through July 18, 2024. The closing price of the reference asset on July 18, 2024 was $93.47.
Past performance of the reference asset is not indicative of the future performance of the reference asset. No assurance
can be given as to the final price of the reference asset, and we cannot give you any assurance that the performance of the reference asset will result in a positive return on your investment.
Historical Performance of the iShares® 20+ Year Treasury Bond ETF
SUPPLEMENTAL PLAN OF DISTRIBUTION (CONFLICTS OF INTEREST)
SCUSA, our affiliate, will purchase the notes at the principal amount and, as part of the distribution of the notes, will sell the notes to GS&Co. at a
discount reflecting selling commissions of $9.90 per $1,000 principal amount of notes. GS&Co. proposes initially to offer the notes to the public at the original issue price set forth on the cover of this pricing supplement. In accordance with
the terms of a distributor accession letter, GS&Co. has been appointed as a distribution agent under the distribution agreement and may purchase notes from the Bank or its affiliates. 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.
A fee will also be paid to iCapital Markets LLC, a broker-dealer in which an affiliate of GS&Co. holds an indirect minority equity interest, for services it
is providing in connection with this offering.
In addition, SCUSA, GS&Co. and their respective affiliates or agents may use the accompanying product supplement to which this pricing supplement relates in
market-making transactions after the initial sale of the notes. While SCUSA and GS&Co. may make markets in the notes, they are under no obligation to do so and may discontinue any market-making activities at any time without notice. See the
sections titled “Supplemental Plan of Distribution (Conflicts of Interest)” in the accompanying prospectus supplement and accompanying product supplement.
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 above. These costs and profits will likely reduce the secondary market price, if any secondary market
develops, for the notes. As a result, you may experience an immediate and substantial decline in the market value of your notes on the trade date.
Conflicts of Interest
SCUSA is an affiliate of the Bank and, as such, has a “conflict of interest” in this offering within the meaning of FINRA Rule 5121. In addition, the Bank will
receive the gross proceeds from the initial public offering of the notes, thus creating an additional conflict of interest within the meaning of Rule 5121. Consequently, the offering is being conducted in compliance with the provisions of Rule
5121. SCUSA is not permitted to sell notes in this offering to an account over which it exercises discretionary authority without the prior specific written approval of the account holder.
SCUSA, GS&Co. and their respective affiliates are full service financial institutions engaged in various activities, which may include securities trading,
commercial and investment banking, financial advisory, investment management, investment research, principal investment, hedging, financing and brokerage activities. SCUSA, GS&Co. and their respective affiliates have, from time to time,
performed, and may in the future perform, various financial advisory and investment banking services for the Bank, for which they received or will receive customary fees and expenses.
In the ordinary course of their various business activities, SCUSA, GS&Co. and their respective affiliates may make or hold a broad array of investments and
actively trade debt and equity securities (or related derivative securities) and financial instruments (including bank loans) for their own account and for the accounts of their customers, and such investment and securities activities may involve
securities and/or instruments of the Bank. SCUSA, GS&Co. and their respective affiliates may also make investment recommendations and/or publish or express independent research views in respect of such securities or instruments and may at any
time hold, or recommend to clients that they acquire, long and/or short positions in such securities and instruments.
Additionally, because the dealer from which you purchase the notes is to conduct hedging activities for us in connection with the notes, that dealer may profit in connection with
such hedging activities and such profit, if any, will be in addition to the compensation that the dealer receives for the sale of the notes to you. You should be aware that the potential to earn fees in connection with hedging activities may create
a further incentive for the dealer to sell the notes to you in addition to the compensation they would receive for the sale of the notes.
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 (EU) 2016/97, 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 Regulation (EU)
2017/1129, 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.
Prohibition of Sales to United Kingdom Retail Investors
The only categories of person in the United Kingdom to whom this pricing supplement may be distributed are those persons who (i) have professional experience in matters relating
to investments falling within the definition of investment professionals (as defined in Article 19(5) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 (as amended, the “Financial Promotion Order”)), (ii) are persons
falling within Article 49(2)(a) to (d) (“high net worth companies, unincorporated associations etc.”) of the Financial Promotion Order, or (iii) are persons to whom an invitation or inducement to engage in investment activity (within the meaning of
section 21 of the Financial Services and Markets Act 2000 (“FSMA”)) in connection with the issue or sale of any securities may otherwise lawfully be communicated or caused to be communicated (all such persons in (i)-(iii) above together being
referred to as “Relevant Persons”). This pricing supplement is directed only at Relevant Persons and must not be acted on or relied on by persons who are not Relevant Persons. Any investment or investment activity to which this pricing supplement
relates is available only to Relevant Persons and will be engaged in only with Relevant Persons. This pricing supplement may only be provided to persons in the United Kingdom in circumstances where section 21(1) of FSMA does not apply to the Bank.
The notes are not being offered to “retail investors” within the meaning of the Packaged Retail and Insurance-based Investment Products Regulations 2017 and accordingly no Key Information Document has been produced under these regulations.
MATERIAL CANADIAN INCOME TAX CONSEQUENCES
See “Supplemental Discussion of Canadian Tax Consequences” in the accompanying product supplement. In addition to the assumptions, limitations and conditions
described therein, such discussion assumes that a Non-Resident Holder is not an entity in respect of which the Bank is a “specified entity” as defined in the Income Tax Act (Canada) (the “Act”).
Such discussion further assumes that no amount paid or payable to a Non-Resident Holder will be the deduction component of a “hybrid mismatch arrangement” under
which the payment arises within the meaning of paragraph 18.4(3)(b) of the Act.
MATERIAL U.S. FEDERAL INCOME TAX CONSEQUENCES
The U.S. federal income tax consequences of your investment in the notes are uncertain. There are no statutory provisions, regulations,
published rulings or judicial decisions addressing the characterization for U.S. federal income tax purposes of securities with terms that are substantially the same as the notes. No ruling from the U.S. Internal Revenue Service (the “IRS”) has
been sought as to the U.S. federal income tax consequences of your investment in the notes, and the following discussion is not binding on the IRS. Some of these tax consequences are summarized below, but we urge you to read the more detailed
discussion under “Material U.S. Federal Income Tax Consequences” in the product supplement and to discuss the tax consequences of your particular situation with your tax advisor. This discussion is based upon the U.S. Internal Revenue Code of 1986,
as amended (the “Code”), final, temporary and proposed U.S. Department of the Treasury (the “Treasury”) regulations, rulings and decisions, in each case, as available and in effect as of the date hereof, all of which are subject to change, possibly
with retroactive effect. Tax consequences under state, local and non-U.S. laws are not addressed herein.
U.S. Tax Treatment. Pursuant to the terms of the notes, the Bank and you agree, in the absence of a statutory or regulatory change or an
administrative determination or judicial ruling to the contrary, to characterize your notes as prepaid derivative contracts with respect to the reference asset. If your notes are so treated, subject to the constructive ownership rules (discussed
below), you should generally recognize long-term capital gain or loss if you hold your notes for more than one year (and, otherwise, short-term capital gain or loss) upon the taxable disposition (including cash settlement) of your notes in an
amount equal to the difference between the amount you receive at such time and the amount you paid for your notes. The deductibility of capital losses is subject to limitations.
Section 1260. Because the notes are linked to the shares of an ETF, it is possible that an
investment in the notes could be treated as a “constructive ownership transaction” within the meaning of Section 1260 of the Code. If the notes were treated as a constructive ownership transaction certain adverse U.S. federal income tax
consequences could apply (i.e., all or a portion of any long-term capital gain that you recognize upon the taxable disposition of your notes could be recharacterized as ordinary income and you could be subject to an interest charge on deferred tax
liability with respect to such recharacterized gain). We urge you to read the discussion concerning the possible treatment of the notes as a constructive ownership transaction under “Supplemental Discussion of U.S. Federal Income Tax Consequences”
in the product supplement.
Based on certain factual representations received from us, our special U.S. tax counsel, Fried, Frank, Harris, Shriver & Jacobson LLP, is
of the opinion that it would be reasonable to treat your notes in the manner described above. However, because there is no authority that specifically addresses the tax treatment of the notes, it is possible that your notes could alternatively be
treated for tax purposes as a single contingent payment debt instrument, or pursuant to some other characterization (including treatment as a “constructive ownership transaction” under Section 1260 of the Code), such that the timing and character
of your income from the notes could differ materially and adversely from the treatment described above.
Notice 2008-2. In 2007, the IRS released a notice that may affect the taxation of holders of the notes. According to Notice 2008-2, the IRS and the Treasury
are actively considering whether a holder of an instrument such as the notes should be required to accrue ordinary income on a current basis. It is not possible to determine what guidance they will ultimately issue, if any. It is possible, however,
that under such guidance, holders of the notes will ultimately be required to accrue income currently and this could be applied on a retroactive basis. The IRS and the Treasury are also considering other relevant issues, including whether
additional gain or loss from such instruments should be treated as ordinary or capital, whether non-U.S. holders of such instruments should be subject to withholding tax on any deemed income accruals, and whether the special “constructive ownership
rules” of Section 1260 of the Code (discussed above) should be applied to such instruments. Both U.S. holders and non-U.S. holders are urged to consult their tax advisors regarding the possible consequences to them of the above considerations.
Medicare Tax on Net Investment Income. U.S. holders that are individuals, estates or certain trusts are subject to an additional 3.8% tax
on all or a portion of their “net investment income,” or “undistributed net investment income” in the case of an estate or trust, which may include any income or gain realized with respect to the notes, to the extent of their net investment income
or undistributed net investment income (as the case may be) that, when added to their other modified adjusted gross income, exceeds $200,000 for an unmarried individual, $250,000 for a married taxpayer filing a joint return (or a surviving spouse),
$125,000 for a married individual filing a separate return or the dollar amount at which the highest tax bracket begins for an estate or trust. The 3.8% Medicare tax is determined in a different manner than the regular income tax. U.S. holders
should consult their tax advisors as to the consequences of the 3.8% Medicare tax.
Specified Foreign Financial Assets. U.S. holders may be subject to reporting obligations with respect to their notes if they do not hold
their notes in an account maintained by a financial institution and the aggregate value of their notes and certain other “specified foreign financial assets” (applying certain attribution rules) exceeds an applicable threshold. Significant
penalties can apply if a U.S. holder is required to disclose its notes and fails to do so.
Backup Withholding and Information Reporting. The proceeds received from a taxable disposition of the notes will be subject to information
reporting unless you are an “exempt recipient” and may also be subject to backup withholding at the rate specified in the Code if you fail to provide certain identifying information (such as an accurate taxpayer number, if you are a U.S. holder) or
meet certain other conditions.
Amounts withheld under the backup withholding rules are not additional taxes and may be refunded or credited against your U.S. federal income tax liability, provided the required
information is furnished to the IRS.
Non-U.S. Holders. If you are a non-U.S. holder, subject to Section 871(m) of the Code and FATCA, discussed below, you should generally not
be subject to U.S. withholding tax with respect to payments on your notes or to generally applicable information reporting and backup withholding requirements with respect to payments on your notes if you comply with certain certification and
identification requirements as to your non-U.S. status including providing us (and/or the applicable withholding agent) a properly executed and fully completed applicable IRS Form W-8. Subject to Section 897 of the Code and Section 871(m) of the
Code, as discussed below, gain realized from a taxable disposition of the notes generally will not be subject to U.S. tax unless (i) such gain is effectively connected with a trade or business conducted by you in the U.S., (ii) you are a
non-resident alien individual and are present in the U.S. for 183 days or more during the taxable year of such taxable disposition and certain other conditions are satisfied or (iii) you have certain other present or former connections with the
U.S.
Section 897. We will not attempt to ascertain whether the reference asset would be treated as a “United States real property holding
corporation” (“USRPHC”) within the meaning of Section 897 of the Code. We also have not attempted to determine whether the notes should be treated as “United States real property interests” (“USRPI”) as defined in Section 897 of the Code. If any
such entity and/or the notes were so treated, certain adverse U.S. federal income tax consequences could possibly apply, including subjecting any gain realized by a non-U.S. holder in respect of the notes upon a taxable disposition (including cash
settlement) of the notes to U.S. federal income tax on a net basis, and the proceeds from such a taxable disposition to a withholding tax. Non-U.S. holders should consult their tax advisors regarding the potential treatment of any such entity as a
USRPHC and/or the notes as USRPI.
Section 871(m). A 30% withholding tax (which may be reduced by an applicable income tax treaty) is imposed under Section 871(m) of 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. 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 2017. 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, 2027.
Based on our determination that the notes are not “delta-one” with respect to the reference asset, our special U.S. tax 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 on the date the terms of the notes are set. If withholding is required, we will not make payments of any additional amounts.
Nevertheless, after the date the terms are set, it is possible that your notes could be deemed to be reissued for tax purposes upon the occurrence of certain events affecting the
reference asset or the 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 reference asset or the notes. If you enter, or have entered, into other transactions in
respect of the reference asset 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.
U.S. Federal Estate Tax Treatment of Non-U.S. Holders. A note may be subject to U.S. federal estate tax if an individual non-U.S. holder
holds the note at the time of his or her death. The gross estate of a non-U.S. holder domiciled outside the U.S. includes only property situated in the U.S. Individual non-U.S. holders should consult their tax advisors regarding the U.S. federal
estate tax consequences of holding the notes at death.
FATCA. The Foreign Account Tax Compliance Act (“FATCA”) was enacted on March 18, 2010, and imposes a 30% U.S. withholding tax on
“withholdable payments” (i.e., certain U.S.-source payments, including interest (and original issue discount), dividends, other fixed or determinable annual or periodical gain, profits, and income, and on the gross proceeds from a disposition of
property of a type which can produce U.S.-source interest or dividends) and “passthru payments” (i.e., certain payments attributable to withholdable payments) made to certain foreign financial institutions (and certain of their affiliates) unless
the payee foreign financial institution agrees (or is required), among other things, to disclose the identity of any U.S. individual with an account at the institution (or the relevant affiliate) and to annually report certain information about
such account. FATCA also requires withholding agents making withholdable payments to certain foreign entities that do not disclose the name, address, and taxpayer identification number of any substantial U.S. owners (or do not certify that they do
not have any substantial U.S. owners) to withhold tax at a rate of 30%. Under certain circumstances, a holder may be eligible for refunds or credits of such taxes.
Pursuant to final and temporary Treasury regulations and other IRS guidance, the withholding and reporting requirements under FATCA will generally apply to certain “withholdable
payments”, will not apply to gross proceeds on a sale or disposition and will 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. If withholding is required, we (or the applicable paying agent) will not be required to pay additional amounts with respect to the amounts so withheld. 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.
Investors should consult their own advisors about the application of FATCA, in particular if they may be classified as financial institutions (or if they hold their notes through
a foreign entity) under the FATCA rules.
Proposed Legislation. In 2007, legislation was introduced in Congress that, if it had been enacted, would have required holders of notes
purchased after the bill was enacted to accrue interest income over the term of the notes despite the fact that there will be no interest payments over the term of the notes.
Furthermore, in 2013, the House Ways and Means Committee released in draft form certain proposed legislation relating to financial instruments. If it had been enacted, the effect
of this legislation generally would have been to require instruments such as the notes to be marked to market on an annual basis with all gains and losses to be treated as ordinary, subject to certain exceptions.
It is impossible to predict whether any similar or identical bills will be enacted in the future, or whether any such bill would affect the tax treatment of your notes. You are
urged to consult your tax advisor regarding the possible changes in law and their possible impact on the tax treatment of your notes.
Both U.S. and non-U.S. holders should consult their tax advisors regarding the U.S. federal income tax consequences of an investment in the notes, as well
as any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction (including that of the Bank).
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