The information in this Preliminary Pricing Supplement is not complete and may be changed. We may not sell these Securities until the Pricing Supplement is delivered in final form. We are not selling these Securities, nor are we soliciting offers to buy these Securities, in any State where such offer or sale is not permitted.
PRELIMINARY PRICING SUPPLEMENT | Filed Pursuant to Rule 424(b)(2) |
Subject to Completion | Registration No. 333-228614 |
Dated October 31, 2019 |
Pricing Supplement dated November ●, 2019 to the
Prospectus dated December 26, 2018,
The Bank of Nova Scotia $ Market Linked Securities – Auto-Callable with Fixed Percentage Buffered Downside, Principal at Risk Securities Linked to the VanEck Vectors® Gold Miners ETF Due December 5, 2022 |
Call Date | Call Premium* |
December 3, 2020 | [10.00 - 12.00]% of the Principal Amount |
December 3, 2021 | [20.00 - 24.00]% of the Principal Amount |
November 28, 2022 (which is also the Final Calculation Day) | [30.00 - 36.00]% of the Principal Amount |
*The actual Call Premium applicable to each Call Date will be determined on the Pricing Date. |
● | if the Ending Price is less than the Starting Price but not by more than 10.00% (the Percentage Change is negative but not below -10.00%), you will receive an amount in cash equal to $1,000; or |
● | if the Ending Price is less than the Starting Price by more than 10.00% (the Percentage Change is negative and below -10.00%), you will receive less than $1,000 and have 1-to-1 downside exposure to the portion of such decrease in the Reference Asset that exceeds 10.00%. In this case, you will receive an amount in cash equal to the sum of: (1) $1,000 plus (2) the product of (i) $1,000 times (ii) the sum of the Percentage Change plus 10.00%. |
Per Security | Total | |
Price to public1 | 100.00% | $● |
Underwriting commissions2 | 3.15% | $● |
Proceeds to The Bank of Nova Scotia3 | 96.85% | $● |
Scotia Capital (USA) Inc. | Wells Fargo Securities, LLC. |
Summary
The information in this "Summary" section is qualified by the more detailed information set forth in this pricing supplement, and the accompanying prospectus, prospectus supplement, and product prospectus supplement. See "Additional Terms of the Securities" in this pricing supplement.
Issuer: | The Bank of Nova Scotia (the "Bank") |
Issue: | Senior Note Program, Series A |
CUSIP/ISIN: | 064159QR0 / US064159QR06 |
Type of Securities: | Market Linked Securities – Auto-Callable with Fixed Percentage Buffered Downside, Principal at Risk Securities |
Reference Asset: | VanEck Vectors® Gold Miners ETF (Bloomberg Ticker: GDX) |
Minimum Investment and Denominations: | $1,000 and integral multiples of $1,000 in excess thereof |
Principal Amount: | $1,000 per Security |
Original Offering Price: | 100.00% of the Principal Amount of each Security |
Currency: | U.S. Dollars. |
Pricing Date: | Expected to be November 27, 2019 |
Trade Date: | Expected to be November 27, 2019 |
Original Issue Date: | Expected to be December 3, 2019 (to be determined on the Trade Date and expected to be the 3rd scheduled Business Day after the Trade Date). We expect that delivery of the Securities will be made against payment therefor on or about the 3rd Business Day following the Trade Date (this settlement cycle being referred to as “T+3”). Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”), trades in the secondary market generally are required to settle in 2 Business Days (T+2), unless the parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to trade the Securities on the Trade Date will be required, by virtue of the fact that each Security initially will settle in 3 Business Days (T+3), to specify alternative settlement arrangements to prevent a failed settlement. |
Maturity Date: | December 5, 2022 or, if such day is not a Business Day, the next succeeding Business Day. If the scheduled Final Calculation Day is not a Trading Day or if a market disruption event occurs or is continuing on the day that would otherwise be the Final Calculation Day so that the Final Calculation Day as postponed falls less than two Business Days prior to the scheduled Maturity Date, the Maturity Date will be postponed to the second Business Day following the Final Calculation Day as postponed. |
Final Calculation Day: | November 28, 2022 or, if such day is not a Trading Day, the next succeeding Trading Day. The Final Calculation Day is also subject to postponement due to the occurrence of a market disruption event. See “—Postponement of a Calculation Day” below. |
Trading Day: | A “Trading Day” with respect to the Reference Asset means a day, as determined by the Calculation Agent, on which the relevant exchange and each related futures or options exchange with respect to the Reference Asset or any successor thereto, if applicable, are scheduled to be open for trading for their respective regular trading sessions. |
Principal at Risk: | You may lose a substantial portion of your initial investment at maturity if the Securities are not automatically called and there is a percentage decrease from the Starting Price to the Ending Price of more than 10.00%. |
Automatic Call Feature: | If the Fund Closing Price of the Reference Asset on any Call Date (including the Final Calculation Day) is greater than or equal to the Starting Price, the Securities will be automatically called, and on the related Call Settlement Date you will be entitled to receive a cash payment per Security in U.S. dollars equal to the Principal Amount per Security plus the Call Premium applicable to the relevant Call Date. The last Call Date is the Final Calculation Day, and payment upon an automatic call on the Final Calculation Day, if applicable, will be made on the Maturity Date. Any positive return on the Securities will be limited to the applicable Call Premium, even if the Fund Closing Price of the Reference Asset on the applicable Call Date significantly exceeds the Starting Price. You will not participate in any appreciation of the Reference Asset beyond the applicable fixed Call Premium. If the Securities are automatically called, they will cease to be outstanding on the related Call Settlement Date and you will have no further rights under the Securities after such Call Settlement Date. You will not receive any notice from us if the Securities are automatically called. |
Call Dates and Call Premiums: | Call Date | Call Premium | Payment per Security upon an Automatic Call |
December 3, 2020 | [10.00 - 12.00]% of the Principal Amount | $[1,100.00 - $1,120.00] | |
December 3, 2021 | [20.00 - 24.00]% of the Principal Amount | $[1,200.00 - $1,240.00] | |
November 28, 2022* | [30.00 - 36.00]% of the Principal Amount | $[1,300.00 - $1,360.00] |
| The actual Call Premium and payment per Security upon an automatic call that is applicable to each Call Date will be determined on the Pricing Date and will be within the ranges specified in the foregoing table. |
* November 28, 2022 is also the Final Calculation Day. | |
The Call Dates are subject to postponement for non-Trading Days and the occurrence of a market disruption event. See “—Postponement of a Calculation Day” below. |
Call Settlement Date: | Five business days after the applicable Call Date (as each such Call Date may be postponed pursuant to “—Postponement of a Calculation Day” below, if applicable); provided that the Call Settlement Date for the last Call Date is the Maturity Date. |
Fees and Expenses: | Scotia Capital (USA) Inc. or one of our affiliates will purchase the aggregate Principal Amount of the Securities and as part of the distribution, will sell the Securities to WFS at a discount of up to $31.50 (3.15%) per $1,000 Principal Amount of the Securities. WFS will provide selected dealers, which may include Wells Fargo Advisors (“WFA”), with a selling concession of up to $17.50 (1.75%) per $1,000 Principal Amount of the Securities, and WFA will receive a distribution expense fee of $0.75 (0.075%) per $1,000 Principal Amount of the Securities for Securities sold by WFA. The price at which you purchase the Securities includes costs that the Bank, the Underwriters or their respective affiliates expect to incur and profits that the Bank, the Underwriters or their respective affiliates expect to realize in connection with hedging activities related to the Securities, as set forth above. These costs and profits will likely reduce the secondary market price, if any secondary market develops, for the Securities. As a result, you may experience an immediate and substantial decline in the market value of your Securities on the Pricing Date. See "Additional Risks—The Inclusion of Dealer Spread and Projected Profit from Hedging in the Original Offering Price is Likely to Adversely Affect Secondary Market Prices" in this pricing supplement. |
Redemption Amount at Maturity: | If the Securities are not automatically called on any Call Date (including the Final Calculation Day), the Redemption Amount at Maturity will be based on the performance of the Reference Asset and will be calculated as follows: ● If the Ending Price is less than the Starting Price and greater than or equal to the Threshold Price, the Redemption Amount at Maturity will equal: $1,000; or ● If the Ending Price is less than the Threshold Price, the Redemption Amount at Maturity will equal: Principal Amount + [Principal Amount × (Percentage Change + Threshold Percentage)] In this case you will have 1-to-1 downside exposure to the portion of such decrease in the Reference Asset that exceeds 10.00%. Accordingly, you could lose up to 90.00% of your initial investment. |
Starting Price: | The Fund Closing Price of the Reference Asset on the Pricing Date. |
Ending Price: | The Fund Closing Price of the Reference Asset on the Final Calculation Day. |
Fund Closing Price: | The Fund Closing Price with respect to the Reference Asset on any Trading Day means the product of (i) the closing price of one share of the Reference Asset (or one unit of any other security for which a Fund Closing Price must be determined) on such Trading Day and (ii) the Adjustment Factor applicable to the Reference Asset on such Trading Day. |
Closing Price: | The Closing Price for one share of the Reference Asset (or one unit of any other security for which a closing price must be determined) on any trading day means the official closing price on such day published by the principal United States securities exchange registered under the Exchange Act on which the Reference Asset (or any such other security) is listed or admitted to trading. In certain special circumstances, the Closing Price will be determined by the Calculation Agent. See “—Market Disruption Events” and “—Postponement of a Calculation Day” below. |
Adjustment Factor: | The Adjustment Factor means, with respect to a share of the Reference Asset (or one unit of any other security for which a Fund Closing Price must be determined), 1.0, subject to adjustment in the event of certain events affecting the shares of the Reference Asset. See “—Anti-dilution Adjustments Relating to the Reference Asset” below. |
Percentage Change: | The Percentage Change, expressed as a percentage, with respect to the Redemption Amount at Maturity, is calculated as follows: Ending Price – Starting Price Starting Price For the avoidance of doubt, because the Percentage Change will be calculated only if the Fund Closing Price of the Reference Asset is less than the Starting Price on each Call Date, including the Final Calculation Day, the Percentage Change will be a negative value. |
Threshold Price: | To be determined on the Pricing Date (equal to the Starting Price multiplied by the difference of 100.00% minus the Threshold Percentage). |
Threshold Percentage: | 10.00% |
Market Disruption Event: | For purposes of the Securities, the definition of “market disruption event” set forth in the product prospectus supplement is superseded. For purposes of the Securities, a “market disruption event” means any of the following events as determined by the Calculation Agent in its sole discretion: (A) The occurrence or existence of a material suspension of or limitation imposed on trading by the relevant exchange or otherwise relating to the shares (or other applicable securities) of the Reference Asset or any successor fund on the relevant exchange at any time during the one-hour period that ends at the close of trading on such day, whether by reason of movements in price exceeding limits permitted by such relevant exchange or otherwise. (B) The occurrence or existence of a material suspension of or limitation imposed on trading by any related futures or options exchange or otherwise in futures or options contracts relating to the shares (or other applicable securities) of the Reference Asset or any successor fund on any related futures or options exchange at any time during the one-hour period that ends at the close of trading on that day, whether by reason of movements in price exceeding limits permitted by the related futures or options exchange or otherwise. (C) The occurrence or existence of any event, other than an early closure, that materially disrupts or impairs the ability of market participants in general to effect transactions in, or obtain market values for, shares (or other applicable securities) of the Reference Asset or any successor fund on the relevant exchange at any time during the one-hour period that ends at the close of trading on that day. (D) The occurrence or existence of any event, other than an early closure, that materially disrupts or impairs the ability of market participants in general to effect transactions in, or obtain market values for, futures or options contracts relating to shares (or other applicable securities) of the Reference Asset or any successor fund on any related futures or options exchange at any time during the one-hour period that ends at the close of trading on that day. (E) The closure of the relevant exchange or any related futures or options exchange with respect to the Reference Asset or any successor fund prior to its scheduled closing time unless the earlier closing time is announced by the relevant exchange or related futures or options exchange, as applicable, at least one hour prior to the earlier of (1) the actual closing time for the regular trading session on such relevant exchange or related futures or options exchange, as applicable, and (2) the submission deadline for orders to be entered into the relevant exchange or related futures or options exchange, as applicable, system for execution at the close of trading on that day. |
| (F) The relevant exchange or any related futures or options exchange with respect to the Reference Asset or any successor fund fails to open for trading during its regular trading session. For purposes of determining whether a market disruption event has occurred: (1) “close of trading” means the scheduled closing time of the relevant exchange with respect to the Reference Asset or any successor fund; and (2) the “scheduled closing time” of the relevant exchange or any related futures or options exchange on any trading day for the Reference Asset or any successor fund means the scheduled weekday closing time of such relevant exchange or related futures or options exchange on such trading day, without regard to after hours or any other trading outside the regular trading session hours. |
Anti-dilution Adjustments Relating to the Reference Asset: | The Calculation Agent will adjust the adjustment factor as specified below if any of the events specified below occurs with respect to the Reference Asset and the effective date or ex-dividend date, as applicable, for such event is after the pricing date and on or prior to the final calculation day. The adjustments specified below do not cover all events that could affect the Reference Asset, and there may be other events that could affect the Reference Asset for which the Calculation Agent will not make any such adjustments, including, without limitation, an ordinary cash dividend. Nevertheless, the Calculation Agent may, in its sole discretion, make additional adjustments to any terms of the securities upon the occurrence of other events that affect or could potentially affect the market price of, or shareholder rights in, the Reference Asset, with a view to offsetting, to the extent practical, any such change, and preserving the relative investment risks of the securities. In addition, the Calculation Agent may, in its sole discretion, make adjustments or a series of adjustments that differ from those described herein if the Calculation Agent determines that such adjustments do not properly reflect the economic consequences of the events specified in this pricing supplement or would not preserve the relative investment risks of the securities. All determinations made by the Calculation Agent in making any adjustments to the terms of the securities, including adjustments that are in addition to, or that differ from, those described in this pricing supplement, will be made in good faith and a commercially reasonable manner, with the aim of ensuring an equitable result. In determining whether to make any adjustment to the terms of the securities, the Calculation Agent may consider any adjustment made by the Options Clearing Corporation or any other equity derivatives clearing organization on options contracts on the Reference Asset. For any event described below, the Calculation Agent will not be required to adjust the adjustment factor unless the adjustment would result in a change to the adjustment factor then in effect of at least 0.10%. The adjustment factor resulting from any adjustment will be rounded up or down, as appropriate, to the nearest one-hundred thousandth. (A) Stock Splits and Reverse Stock Splits If a stock split or reverse stock split has occurred, then once such split has become effective, the adjustment factor will be adjusted to equal the product of the prior adjustment factor and the number of securities which a holder of one share (or other applicable security) of the Reference Asset before the effective date of such stock split or reverse stock split would have owned or been entitled to receive immediately following the applicable effective date. (B) Stock Dividends If a dividend or distribution of shares (or other applicable securities) to which the securities are linked has been made by the Reference Asset ratably to all holders of record of such shares (or other applicable security), then the adjustment factor will be adjusted on the ex-dividend date to equal the prior adjustment factor plus the product of the prior adjustment factor and the number of shares (or other applicable security) of the Reference Asset which a holder of one share (or other applicable security) of the Reference Asset before the ex-dividend date would have owned or been entitled to receive immediately following that date; provided, however, that no adjustment will be made for a distribution for which the number of securities of the Reference Asset paid or distributed is based on a fixed cash equivalent value. (C) Extraordinary Dividends If an extraordinary dividend (as defined below) has occurred, then the adjustment factor will be adjusted on the ex-dividend date to equal the product of the prior adjustment factor and a fraction, the numerator of which is the |
closing price per share (or other applicable security) of the Reference Asset on the trading day preceding the ex-dividend date, and the denominator of which is the amount by which the closing price per share (or other applicable security) of the Reference Asset on the trading day preceding the ex-dividend date exceeds the extraordinary dividend amount (as defined below). For purposes of determining whether an extraordinary dividend has occurred: (1) “extraordinary dividend” means any cash dividend or distribution (or portion thereof) that the Calculation Agent determines, in its sole discretion, is extraordinary or special; and (2) “extraordinary dividend amount” with respect to an extraordinary dividend for the securities of the Reference Asset will equal the amount per share (or other applicable security) of the Reference Asset of the applicable cash dividend or distribution that is attributable to the extraordinary dividend, as determined by the Calculation Agent in its sole discretion. A distribution on the securities of the Reference Asset described below under the section entitled “—Reorganization Events” below that also constitutes an extraordinary dividend will only cause an adjustment pursuant to that “—Reorganization Events” section. (D) Other Distributions If the Reference Asset declares or makes a distribution to all holders of the shares (or other applicable security) of the Reference Asset of any non-cash assets, excluding dividends or distributions described under the section entitled “—Stock Dividends” above, then the Calculation Agent may, in its sole discretion, make such adjustment (if any) to the adjustment factor as it deems appropriate in the circumstances. If the Calculation Agent determines to make an adjustment pursuant to this paragraph, it will do so with a view to offsetting, to the extent practical, any change in the economic position of a holder of the securities that results solely from the applicable event. (E) Reorganization Events If the Reference Asset, or any successor fund, is subject to a merger, combination, consolidation or statutory exchange of securities with another exchange traded fund, and the Reference Asset is not the surviving entity (a “reorganization event”), then, on or after the date of such event, the Calculation Agent shall, in its sole discretion, make an adjustment to the adjustment factor or the method of determining the payment at maturity, whether the securities are automatically called on any of the call dates or any other terms of the securities as the Calculation Agent determines appropriate to account for the economic effect on the securities of such event, and determine the effective date of that adjustment. If the Calculation Agent determines that no adjustment that it could make will produce a commercially reasonable result, then the Calculation Agent may deem such event a liquidation event (as defined below). |
Liquidation Events: | If the Reference Asset is de-listed, liquidated or otherwise terminated (a “liquidation event”), and a successor or substitute exchange traded fund exists that the Calculation Agent determines, in its sole discretion, to be comparable to the Reference Asset, then, upon the Calculation Agent’s notification of that determination to the trustee and Wells Fargo, any subsequent Fund Closing Price for the Reference Asset will be determined by reference to the Fund Closing Price of such successor or substitute exchange traded fund (such exchange traded fund being referred to herein as a “successor fund”), with such adjustments as the Calculation Agent determines are appropriate to account for the economic effect of such substitution on holders of the securities. If the Reference Asset undergoes a liquidation event prior to, and such liquidation event is continuing on, the date that any Fund Closing Price of the Reference Asset is to be determined and the Calculation Agent determines that no successor fund is available at such time, then the Calculation Agent will, in its discretion, calculate the Fund Closing Price for the Reference Asset on such date by a computation methodology that the Calculation Agent determines will as closely as reasonably possible replicate the Reference Asset, provided that if the Calculation Agent determines in its discretion that it is not practicable to replicate the Reference Asset (including but not limited to the instance in which the underlying index sponsor discontinues publication of the underlying index), then the Calculation Agent will calculate the Fund Closing Price for the Reference Asset in accordance with the formula last used to calculate such Fund Closing Price before such liquidation event, but using only those securities that were held by the Reference Asset immediately prior to such liquidation event without any rebalancing or substitution of such securities following such liquidation event. If a successor fund is selected or the Calculation Agent calculates the Fund Closing Price as a substitute for the Reference Asset, such successor fund or Fund Closing Price will be used as a substitute for the Reference Asset for all purposes, including for purposes of determining whether a market disruption event exists. Notwithstanding these alternative arrangements, a liquidation event with respect to the Reference Asset may adversely affect the value of the securities. If any event is both a reorganization event and a liquidation event, such event will be treated as a reorganization event for purposes of the securities unless the Calculation Agent makes the determination referenced in the last sentence of the section entitled “—Anti-dilution Adjustments—Reorganization Events” above. |
Alternate Calculation: | If at any time the method of calculating the Reference Asset or a successor fund, or the underlying index, is changed in a material respect, or if the Reference Asset or a successor fund is in any other way modified so that the Reference Asset does not, in the opinion of the Calculation Agent, fairly represent the price of the securities of the Reference Asset or such successor fund had such changes or modifications not been made, then the Calculation Agent may, at the close of business in New York City on the date that any Fund Closing Price is to be determined, make such calculations and adjustments as, in the good faith judgment of the Calculation Agent, may be necessary in order to arrive at a closing price of the Reference Asset comparable to the Reference Asset or such successor fund, as the case may be, as if such changes or modifications had not been made, and calculate the Fund Closing Price and the payment at maturity and determine whether the securities are automatically called on any call date with reference to such adjusted closing price of the Reference Asset or such successor fund, as applicable. |
Relevant Exchange: | The “relevant exchange” for the Reference Asset means the primary exchange or quotation system on which shares (or other applicable securities) of the Reference Asset are traded, as determined by the Calculation Agent. |
Related Futures or Options Exchange: | The “related futures or options exchange” for the Reference Asset means each exchange or quotation system where trading has a material effect (as determined by the Calculation Agent) on the overall market for futures or options contracts relating to the Reference Asset. |
Postponement of a Calculation Day: | The Call Dates (including the Final Calculation Day) are each referred to as a “calculation day” for purposes of postponement. If any calculation day is not a Trading Day, such calculation day will be postponed to the next succeeding Trading Day. If a market disruption event occurs or is continuing on any calculation day, then such calculation day will be postponed to the first succeeding Trading Day on which a market disruption event has not occurred and is not continuing. If a market disruption event occurs or is continuing on each Trading Day to and including the eighth Trading Day following the originally scheduled calculation day, then that eighth Trading Day will be deemed to be the applicable calculation day. If a calculation day has been postponed eight Trading Days after the originally scheduled calculation day, then the Calculation Agent will determine the closing price of the Fund on such eighth trading day based on its good faith estimate of the value of the shares (or other applicable securities) of the Fund as of the close of trading on such eighth trading day. Notwithstanding anything to the contrary in the accompanying product prospectus supplement, the Call Dates (including the Final Calculation Day) (each referred to in this section as a “calculation day”) will be postponed as set forth herein. |
Form of Securities: | Book-entry |
Calculation Agent: | Scotia Capital Inc., an affiliate of the Bank |
Underwriters: | Scotia Capital (USA) Inc. and Wells Fargo Securities, LLC. |
Status: | The Securities will constitute direct, senior, unsubordinated and unsecured obligations of the Bank ranking pari passu with all other direct, senior, 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. |
Tax Redemption: | The Bank (or its successor) may redeem the Securities, 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 Securities. See "Tax Redemption" in the accompanying product prospectus supplement. |
Listing: | The Securities will not be listed on any securities exchange or automated quotation system. |
Use of Proceeds: | General corporate purposes |
Clearance and Settlement: | The Depository Trust Company |
Business Day: | New York and Toronto |
Canadian Bail-in: | The Securities are not bail-inable debt securities under the CDIC Act. |
Additional Terms Of THE Securities
Investor Suitability
● | You fully understand the risks inherent in an investment in the Securities, including the risk of losing most of your initial investment. |
● | You can tolerate a loss of up to 90.00% of your initial investment. |
● | You believe that the Fund Closing Price of the Reference Asset will be greater than or equal to the Starting Price on one of the three Call Dates. |
● | You seek the potential for a fixed return if the Reference Asset has appreciated at all as of any of the three Call Dates in lieu of full participation in any potential appreciation of the Reference Asset. |
● | You understand that if the Fund Closing Price of the Reference Asset is less than the Starting Price on each of the three Call Dates (including the Final Calculation Day), you will not receive any positive return on your investment in the Securities, and that if the Fund Closing Price of the Reference Asset on the Final Calculation Day (i.e., the Ending Price) is less than the Starting Price by more than 10.00%, you will receive less, and possibly 90.00% less, than the Principal Amount at maturity. |
● | You can tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations in the price of the Reference Asset. |
● | You do not seek current income from your investment and are willing to forgo dividends paid on the shares of the Reference Asset. |
● | You understand that the term of the Securities may be as short as approximately 12 months and that you will not receive a higher Call Premium payable with respect to a later Call Date if the Securities are called on an earlier Call Date. |
● | You are willing to hold the Securities to maturity, a term of approximately 36 months, and accept that there may be little or no secondary market for the Securities. |
● | You are willing to accept the risk of exposure to companies involved in the mining of gold or silver. |
● | You are willing to assume the credit risk of the Bank for all payments under the Securities, and understand that if the Bank defaults on its obligations you may not receive any amounts due to you, including any repayment of principal. |
● | You do not fully understand the risks inherent in an investment in the Securities, including the risk of losing most of your initial investment. |
● | You seek a security with a fixed term. |
● | You require an investment designed to guarantee a full return of principal at maturity. |
● | You cannot tolerate a loss of up to 90.00% of your initial investment. |
● | You are unwilling to accept the risk that, if the Fund Closing Price of the Reference Asset is less than the Starting Price on each of the three Call Dates (including the Final Calculation Day), you will not receive any positive return on your investment in the Securities. |
● | You are unwilling to purchase Securities with an estimated value as of the Pricing Date that is lower than the Principal Amount and that may be as low as the lower estimated value set forth on the cover page. |
● | You cannot tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations in the price of the Reference Asset. |
● | You seek current income from your investment or prefer to receive dividends paid on the shares of the Reference Asset. |
● | You are unwilling to hold the Securities to maturity, a term of approximately 36 months, or you seek an investment for which there will be a secondary market. |
● | You are not willing to assume the credit risk of the Bank for all payments under the Securities. |
● | You seek exposure to the upside performance of the Reference Asset beyond the applicable Call Premiums. |
● | You are not willing to accept the risk of exposure to companies involved in the mining of gold or silver. |
● | You prefer the lower risk of fixed income investments with comparable maturities issued by companies with comparable credit ratings. |
Hypothetical PayOUT ProFILE
Hypothetical RETURNS
• | the hypothetical payment per Security on the related Call Settlement Date, assuming that the Call Premiums are equal to the midpoints of their specified ranges; and |
• | the hypothetical pre-tax total rate of return. |
Hypothetical Call Date on which Securities are automatically called | Hypothetical payment per Security on related Call Settlement Date | Hypothetical pre-tax total rate of return |
1st Call Date | $1,110.00 | 11.00% |
2nd Call Date | $1,220.00 | 22.00% |
3rd Call Date | $1,330.00 | 33.00% |
• | the hypothetical percentage change from the hypothetical Starting Price to the hypothetical Ending Price, assuming a hypothetical Starting Price of $100.00; |
• | the hypothetical Redemption Amount at Maturity per Security; and |
• | the hypothetical pre-tax total rate of return. |
Hypothetical Ending Price | Hypothetical percentage change from the hypothetical Starting Price to the hypothetical Ending Price | Hypothetical Redemption Amount at Maturity per Security | Hypothetical pre-tax total rate of return |
$95.00 | -5.00% | $1,000.00 | 0.00% |
$90.00 | -10.00% | $1,000.00 | 0.00% |
$85.00 | -15.00% | $950.00 | -5.00% |
$75.00 | -25.00% | $850.00 | -15.00% |
$50.00 | -50.00% | $600.00 | -40.00% |
$25.00 | -75.00% | $350.00 | -65.00% |
$0.00 | -100.00% | $100.00 | -90.00% |
Hypothetical Payments AT MATURITY On the Securities
ADDITIONAL RISKS
There Is No Affiliation Between Any Reference Asset Constituent Stock Issuers or the Investment Advisor and Us and We Are Not Responsible for Any Disclosure by Any of the Other Reference Asset Constituent Stock Issuers or the Investment Advisor
InFORMATION REGARDING THE REFERENCE ASSET
(1) | the weight of any single component security may not account for more than 20% of the total value of the Gold Miners Index; |
(2) | the component securities are split into two subgroups - (1) large and (2) small, which are ranked by their unadjusted market capitalization weight in the Gold Miners Index. Large stocks are defined as having a weight in the Gold Miners Index that is greater than or equal to 5%. Small securities are defined as having a weight in the Gold Miners Index that is less than 5%; and |
(3) | the final aggregate weight of those component securities which individually represent more than 4.5% of the total value of the Gold Miners Index may not account for more than 45% of the total value of the Gold Miners Index. |
• | Diversification Rule 1: If any component security exceeds 20% of the total value of the Gold Miners Index, then all stocks greater than 20% of the Gold Miners Index are reduced to represent 20% of the value of the Gold Miners Index. The aggregate amount by which all component securities are reduced is redistributed proportionately across the remaining securities that represent less than 20% of the value of the Gold Miners Index. After this redistribution, if any other security then exceeds 20%, the security is set to 20% of the value of the Gold Miners Index and the redistribution is repeated. If there is no component security over 20% of the total value of the Gold Miners Index, then Diversification Rule 1 is not executed. |
• | Diversification Rule 2: The components are sorted into two groups, (1) large components, with a starting index weight of 5% or greater, and (2) small components, with a weight of under 5% (after any adjustments for Diversification Rule 1). If there are no components that are classified as large components after Diversification Rule 1 is run, then Diversification Rule 2 is not executed. In addition, if the starting aggregate weight of the large components after Diversification Rule 1 is run is not greater than 45% of the starting index weight, then Diversification Rule 2 is not executed. |
o | The weight of each of the large components will be scaled down proportionately (with a floor of 5%) so that the aggregate weight of the large components will be reduced to represent 45% of the Gold Miners Index. If any large component stock falls below a weight equal to the product of 5% and the proportion by which the securities were scaled down following this distribution, then the weight of the security is set equal to the product of 5% and the proportion by which the securities were scaled down and the components with weights greater than 5% will be reduced proportionately. |
o | The weight of each of the small components will be scaled up proportionately from the redistribution of the large components. If any small component exceeds a weight equal to the product of 4.5% and the proportion by which the securities were scaled down following this distribution, then the weight of the security is set equal to the product of 4.5% and the proportion by which the securities were scaled down. The redistribution of weight to the remaining securities is repeated until the entire amount has been redistributed. |
(1) | Removal of constituents. Any constituent deleted from the Gold Miners Index as a result of a corporate action such as a merger, acquisition, spin-off, delisting or bankruptcy is not replaced by any new security. The total number of constituents in the Gold Miners Index is reduced by one every time a company is deleted. If a company is removed from the Gold Miners Index, the divisor will be adapted to maintain the index level. In certain circumstances, the Index Administrator may decide to add another constituent into the Gold Miners Index as a result of the pending removal of a current constituent. |
a. | Mergers and acquisitions. In the event that a merger or acquisition occurs between members of the Gold Miners Index, the acquired company is deleted and its market capitalization moves to the acquiring company’s stock. In the event that only one of the parties to a merger or acquisition is a member of the Gold Miners Index, an acquiring member of the Gold Miners Index continues as a member of the Gold Miners Index and its shares will be adjusted at the next rebalance, while an acquired member of the Gold Miners Index is removed from the Gold Miners Index and its weight in the Gold Miners Index is redistributed proportionately across the remaining constituents via a divisor adjustment and the acquiring company may be considered for inclusion at the next rebalance. |
b. | Suspensions and company distress. Immediately upon a company’s bankruptcy announcement, the security is removed from the Gold Miners Index effective for the first trading day following the announcement. If the constituent is trading on an over-the-counter market, the last trade or price on that market is utilized as the deletion price on that day. If the stock does not trade on the relevant exchange between the bankruptcy announcement and the next rebalance effective date, the stock may be deleted from the Gold Miners Index with a presumed market value of $0. |
c. | Split-up / spin-off. The closing price of the index constituent is adjusted by the value of the spin-off. The divisor will be adjusted to account for any changes in the overall market capitalization of the Gold Miners Index Spun-off companies will not be automatically added into the Gold Miners Index at the time of the event. |
(2) | Dividends. The Gold Miners Index will be adjusted for dividends that are special. To determine whether a dividend should be considered a special dividend, the compiler will use the following criteria: (a) the declaration of a dividend additional to those dividends declared as part of a company’s normal results and dividend reporting cycle (not including an adjustment solely to the timing of the declaration of a company’s expected dividend); or (b) the identification of an element of a dividend paid in line with a company’s normal results and dividend reporting cycle as an element that is unambiguously additional to the company’s normal payment. |
(3) | Rights issues and other rights. In the event of a rights issue, the price is adjusted for the value of the right on the ex-date, and the shares are increased to maintain the constituent’s existing weighting within the Gold Miners Index. The adjustment assumes that the rights issue is fully subscribed. The amount of the price adjustment is determined from the terms of the rights issue, including the subscription price, and the price of the underlying security. The Index Administrator shall only enact adjustments if the rights represent a positive value, or are in-the-money, or alternatively, represent or can be converted into a tangible cash value. |
(4) | Bonus issues, stock splits and reverse stock splits. For bonus issues, stock splits and reverse stock splits, the number of shares included in the Gold Miners Index will be adjusted in accordance with the ratio given in the corporate action. Since the event won’t change the value of the company included in the Gold Miners Index, the divisor will not be changed because of this. |
(5) | Changes in number of shares. Changes in the number of shares in issue and/or free-float will not be reflected in the Gold Miners Index until the next review unless the change is related to a specific corporate action. |
SUPPLEMENTAL PLAN OF DISTRIBUTION (CONFLICTS OF INTEREST)
THE BANK'S ESTIMATED VALUE OF THE SECURITIES
The Bank's estimated value of the Securities set forth on the cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component with the same maturity as the Securities, valued using our internal funding rate for structured debt described below, and (2) the derivative or derivatives underlying the economic terms of the Securities. The Bank's estimated value does not represent a minimum price at which the Bank would be willing to buy your Securities in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the Bank's estimated value generally represents a discount from the credit spreads for our conventional fixed-rate debt. The discount is based on, among other things, our view of the funding value of the Securities as well as the higher issuance, operational and ongoing liability management costs of the Securities in comparison to those costs for our conventional fixed-rate debt. For additional information, see "Additional Risk Factors—The Bank's Estimated Value Is Not Determined by Reference to Credit Spreads for Our Conventional Fixed-Rate Debt." The value of the derivative or derivatives underlying the economic terms of the Securities is derived from the Bank's internal pricing model. This model is dependent on inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments. Accordingly, the Bank's estimated value of the Securities is determined when the terms of the Securities are set based on market conditions and other relevant factors and assumptions existing at that time. See "Additional Risk Factors—The Bank's Estimated Value Does Not Represent Future Values of the Securities and May Differ from Others' Estimates."
ADDITIONAL INFORMATION ABOUT THE SECURITIES
Please read this information in conjunction with the summary terms on the front cover of this document. Notwithstanding anything to the contrary in the accompanying product prospectus supplement for this Security, the amount you will receive at maturity will be the Redemption Amount at Maturity, defined and calculated as provided in this pricing supplement.
"Security" | The accompanying product prospectus supplement refers to a Security as a "note" |
"Original Offering Price" | The accompanying product prospectus supplement refers to the Original Offering Price as the "original issue price" |
"Final Calculation Day" | The accompanying product prospectus supplement refers to a Final Calculation Day as a "valuation date" |
"Call Date" | The accompanying product prospectus supplement refers to a Call Date as a "valuation date" |
"Starting Price" | The accompanying product prospectus supplement refers to the Starting Price as the "Initial Price" |
"Ending Price" | The accompanying product prospectus supplement refers to the Ending Price as the "Final Price" |
"Redemption Amount at Maturity" | The accompanying product prospectus supplement refers to the Redemption Amount at Maturity as the "payment at maturity" |
"Threshold Price" | The accompanying product prospectus supplement refers to the Threshold Price as the "Buffer Level" |
"Threshold Percentage" | The accompanying product prospectus supplement refers to the Threshold Percentage the a "Buffer Percentage" |
CANADIAN INCOME TAX CONSEQUENCES
U.S. FEDERAL INCOME TAX CONSEQUENCES