Filed Pursuant to Rule 433 Dated February 1, 2021 | |
| Registration No. 333-228614 |
Market Linked Securities – Auto-Callable with Contingent Downside, Principal at Risk Securities
Linked to the VanEck Vectors® Gold Miners ETF due February 20, 2024
Term Sheet to the Preliminary Pricing Supplement dated February 1, 2021
Summary of Terms
| Issuer | The Bank of Nova Scotia (the “Bank”) |
| Term | Approximately 36 months (unless earlier called) |
| Market Measure | VanEck Vectors® Gold Miners ETF (the "Reference Asset") (Bloomberg Ticker: GDX) |
| Pricing Date | Expected to be February 12, 2021 |
| Trade Date | Expected to be February 12, 2021 |
| Issue Date | Expected to be February 17, 2021 |
| Principal Amount | $1,000 per Security |
| Original Offering Price | 100% of the Principal Amount of each Security |
| 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 for the Principal Amount plus the Call Premium applicable to the relevant Call Date. See “Call Dates and Call Premiums” on page 3 |
| Call Dates | Expected to be February 17, 2022; February 17, 2023; and February 12, 2024 |
| Call Settlement Dates | Five business days after the applicable Call Date (if the Securities are called on the last Call Date, the Call Settlement Date will be the Maturity Date) |
| Redemption Amount at Maturity | See “How the Redemption Amount at Maturity is Calculated” on page 3 |
| Maturity Date | Expected to be February 20, 2024 |
| 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 |
| Threshold Price | To be determined on the Pricing Date (equal to the Starting Price multiplied by 70.00%). |
| Percentage Change | The percentage increase or decrease in the Ending Price from the Starting Price. The Percentage Change may reflect a positive return (based on any increase in the price of the Reference Asset over the life of the Securities) or a negative return (based on any decrease in the price of the Reference Asset over the life of the Securities) |
| Final Calculation Day | February 12, 2024 |
| Calculation Agent | Scotia Capital Inc., an affiliate of the Bank |
| Denominations | $1,000 and any integral multiple of $1,000 |
| Agent Discount | Up to 2.80% of which dealers, including Wells Fargo Advisors, LLC (“WFA”), may receive a selling concession of up to 1.75%, and WFA will receive a distribution expense fee of 0.075%. In respect of certain Securities sold in this offering, we may pay a fee of up to $1.00 per Security to selected securities dealers in consideration for marketing and other services in connection with the distribution of the Securities to other securities dealers. |
| CUSIP / ISIN | 064159R40 / US064159R404 |
| Underwriters | Scotia Capital (USA) Inc.; Wells Fargo Securities, LLC |
Investment Description
| ● | Linked to the VanEck Vectors® Gold Miners ETF |
| ● | Unlike ordinary debt securities, the Securities do not pay interest or guarantee any repayment of principal at maturity. Instead, the Securities are subject to potential automatic call upon the terms described below. Any return you receive on the Securities and whether they are automatically called will depend on the performance of the Reference Asset. |
| ● | 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 receive the Principal Amount plus the Call Premium applicable to the relevant Call Date. |
| Call Date | Call Premium** |
| February 17, 2022 | [10.25 - 11.25%]% of the Principal Amount |
| February 17, 2023 | [20.50 - 22.50%]% of the Principal Amount |
February 12, 2024 (the “Final Calculation Day”) | [30.75 - 33.75%]% of the Principal Amount |
** The actual Call Premium applicable to each Call Date will be determined on the Pricing Date.
| ● | 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 upon the Fund Closing Price of the Reference Asset on the Final Calculation Day and could be equal to or less than the Principal Amount per Security as follows: |
| o | If the Ending Price is less than the Starting Price but not by more than 30.00% (the Percentage Change is zero or negative but not below -30.00%): |
You will be repaid the Principal Amount;
| o | If the Ending Price is less than the Starting Price by more than 30.00% (the Percentage Change is negative and below -30.00%): |
Principal Amount + (Principal Amount × Percentage Change)
In this case, you will have full downside exposure to the decrease in the price of the Reference Asset from the Starting Price to the Ending Price. If the Securities are not automatically called and the Ending Price is less than the Threshold Price, you will lose more than 30.00%, and possibly up to 100.00%, of your initial investment.
| ● | Investors may lose up to 100.00% of the Principal Amount. |
| ● | Any positive return on the Securities will be limited to the applicable Call Premium. |
| ● | All payments on the Securities are subject to the credit risk of the Bank, and you will have no right to the shares of the Reference Asset or any securities held by the Reference Asset; if The Bank of Nova Scotia defaults on its obligations, you could lose your entire investment. |
| ● | No periodic interest payments or dividends. |
| ● | No exchange listing; designed to be held to maturity. |
If the Securities priced today, the estimated value of the Securities would be between $900.00 (90.000%) and $929.79 (92.979%) per $1,000 Principal Amount. See “The Bank’s Estimated Value of the Securities” in the preliminary pricing supplement.
The Securities have complex features and investing in the Securities involves risks not associated with an investment in conventional debt securities. See “Selected Risk Considerations” in this term sheet, “Additional Risks” in the preliminary pricing supplement, “Additional Risk Factors Specific to the Notes” in the product prospectus supplement and “Risk Factors” in the prospectus supplement and prospectus.
This introductory term sheet does not provide all the information that an investor should consider prior to making an investment decision. This term sheet should be read in conjunction with the preliminary pricing supplement, product prospectus supplement, prospectus supplement, and prospectus.
NOT A BANK DEPOSIT AND NOT INSURED OR GUARANTEED BY THE FDIC OR ANY OTHER GOVERNMENTAL AGENCY
Hypothetical Payout Profile
The profile to the right illustrates the potential payment on the Securities for a range of hypothetical Percentage Changes in the Fund Closing Price of the Reference Asset from the Pricing Date to the applicable Call Date (including the Final Calculation Day), assuming a Threshold Price equal to 70.00% of the Starting Price. The Call Premiums shown in the profile are hypothetical and are based on the midpoint of the ranges specified for the Call Premiums.
This graph has been prepared for purposes of illustration only. Your actual return will depend on (i) whether the Securities are automatically called; (ii) if the Securities are automatically called, the actual Call Premium and the actual Call Date on which the Securities are called; (iii) if the Securities are not automatically called, the actual Ending Price; and (iv) whether you hold your Securities to maturity or an earlier automatic call.
Hypothetical Returns
If the Securities are automatically called:
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 | $1,107.50 | 10.75% |
2nd call date | $1,215.00 | 21.50% |
3rd call date | $1,322.50 | 32.25% |
Assumes the Call Premiums are equal to the midpoints of their specified ranges. Each Security has a Principal Amount of $1,000.
If the Securities are not automatically called:
Hypothetical Ending Price | Hypothetical Percentage Change | Hypothetical Redemption Amount at Maturity per Security | Hypothetical pre-tax total rate of return |
| $90.00 | -10.00% | $1,000.00 | 0.00% |
| $85.00 | -15.00% | $1,000.00 | 0.00% |
| $80.00 | -20.00% | $1,000.00 | 0.00% |
| $75.00 | -25.00% | $1,000.00 | 0.00% |
| $70.00 | -30.00% | $1,000.00 | 0.00% |
| $60.00 | -40.00% | $600.00 | -40.00% |
| $50.00 | -50.00% | $500.00 | -50.00% |
| $25.00 | -75.00% | $250.00 | -75.00% |
| $0.00 | -100.00% | $0.00 | -100.00% |
Assumes a hypothetical Starting Price of $100.00. The actual Starting Price will be determined on the Pricing Date. Each Security has a Principal Amount of $1,000.
The above figures are for purposes of illustration only and may have been rounded for ease of analysis. The actual amount you receive upon automatic call or at maturity and the resulting pre-tax rate of return will depend on (i) whether the Securities are automatically called; (ii) if the Securities are automatically called, the actual Call Premium, the actual Call Date on which the Securities are called; (iii) if the Securities are not automatically called, the actual Ending Price of the Reference Asset; and (iv) whether you hold your Securities to maturity or earlier automatic call.
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Call Dates and Call Premiums
Call Date | Call Premium | Payment per Security upon an Automatic Call |
| February 17, 2022 | [10.25 - 11.25]% of the Principal Amount | [$1,102.50 - $1,112.50] |
| February 17, 2023 | [20.50 - 22.50]% of the Principal Amount | [$1,205.00 - $1,225.00] |
| February 12, 2024* | [30.75 - 33.75]% of the Principal Amount | [$1,307.50 - $1,337.50] |
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. 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.
* February 12, 2024 is also the Final Calculation Day.
How the Redemption Amount at Maturity is Calculated
If the Fund Closing Price of the Reference Asset is less than the Starting Price on each of the three Call Dates, the Securities will not be automatically called, and on the Maturity Date you will receive a Redemption Amount at Maturity per Security determined 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 |
| ● | If the Ending Price is less than the Threshold Price, the Redemption Amount at Maturity will be equal: |
Principal Amount + (Principal Amount × Percentage Change)
In this case, you will have full downside exposure to the decrease in the price of the Reference Asset from the Starting Price to the Ending Price. If the Securities are not automatically called and the Ending Price is less than the Threshold Price, you will lose more than 30.00%, and possibly up to 100.00%, of your initial investment.
Any positive return on the Securities will be limited to the applicable Call Premium, even if the Fund Closing Price of the Reference Asset significantly exceeds the Starting Price on the applicable Call Date. You will not participate in any appreciation of the Reference Asset beyond the applicable Call Premium. If the Securities are not automatically called on any Call Date and the Ending Price is less than the Threshold Price, you will lose more than 30.00%, and possibly all, of the Principal Amount of your Securities at maturity.
VanEck Vectors® Gold Miners ETF Daily Closing Prices*
* The graph above illustrates the performance of the Reference Asset from January 1, 2016 through January 26, 2021. The dotted line represents a hypothetical Threshold Price of $24.563, which is equal to 70.00% of $35.09, which was the Closing Price of the Reference Asset on January 26, 2021. Past performance of the Reference Asset is not indicative of the future performance of the Reference Asset.
Information from outside sources is not incorporated by reference in, and should not be considered part of, this introductory term sheet, the pricing supplement, the prospectus, the prospectus supplement, or product prospectus supplement.
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Selected Risk Considerations
The risks set forth below are discussed in detail in “Additional Risks” in the pricing supplement, “Additional Risk Factors Specific to the Notes” in the product prospectus supplement and “Risk Factors” in the prospectus supplement and prospectus. Please review those risk disclosures carefully.
| ● | Risk of Loss at Maturity: Any payment on the Securities at maturity depends on the Percentage Change of the Reference Asset. If the Securities are not automatically called, the Bank will only repay you the full Principal Amount of your Securities if the Percentage Change does not reflect a decrease in the Reference Asset of more than 30.00%. If the Percentage Change is less than -30.00%, meaning the Ending Price is less than the Threshold Price, you will be fully exposed to the negative performance of the Reference Asset and, accordingly, you will lose more than 30.00%, and possibly all, of your initial investment. If the Securities are not automatically called, and if the percentage decline from the Starting Price to the Ending Price is greater than 30.00%, you will lose more than 30.00%, and possibly all, of your investment in the Securities. |
| ● | The Contingent Downside Feature Applies Only at Maturity |
| ● | The Potential Return On The Securities Is Limited To The Call Premium |
| ● | You Will Be Subject To Reinvestment Risk |
| ● | No Interest: The Securities will not bear interest and, accordingly, you will not receive any interest payments on the Securities. |
| ● | The Securities Differ from Conventional Debt Instruments |
| ● | Holding the Securities is Not the Same as Holding the Reference Asset or the Reference Asset Constituent Stocks |
| ● | No Assurance that the Investment View Implicit in the Securities Will Be Successful |
| ● | The Securities are Subject to Market Risk |
| ● | The Reference Asset Does Not Measure the Performance of Gold Bullion |
| ● | The Securities are Subject to Risks Associated with Investments in The Gold and Silver Mining Industry |
| ● | The Price of the Reference Asset May be Affected by the Performance of a Small Number of Companies |
| ● | An Investment In The Securities Is Subject To Risks Associated With Foreign Securities Markets |
| ● | Exchange Rate Movements May Impact The Value Of The Securities |
| ● | The Bank Cannot Control Actions by the Investment Advisor of the Reference Asset that May Adjust the Reference Asset in a Way that Could Adversely Affect the Payments on the Securities and Their Market Value, and the Investment Advisor Has No Obligation to Consider Your Interests |
| ● | There Are Risks Associated with a Reference Asset that is an Exchange-Traded Fund |
| ● | The Value of the Reference Asset May Fluctuate Relative to its NAV |
| ● | If the Prices of the Reference Asset or the Reference Asset Constituent Stocks Change, the Market Value of Your Securities May Not Change in the Same Manner |
| ● | Past Performance is Not Indicative of Future Performance |
| ● | Changes Affecting the Reference Asset Could Have an Adverse Effect on the Value of, and any Amount Payable on, the Securities |
| ● | The Bank Cannot Control Actions by the Investment Advisor and the Investment Advisor Has No Obligation to Consider Your Interests |
| ● | The Inclusion of Dealer Spread and Projected Profit from Hedging in the Original Offering Price is Likely to Adversely Affect Secondary Market Prices |
| ● | The Bank's Estimated Value of the Securities Will be Lower than the Original Offering Price of the Securities |
| ● | The Bank's Estimated Value Does Not Represent Future Values of the Securities and may Differ from Others' Estimates |
| ● | The Bank's Estimated Value is not Determined by Reference to Credit Spreads for our Conventional Fixed-Rate Debt |
| ● | We May Sell an Additional Aggregate Principal Amount of the Securities at a Different Issue Price |
| ● | The Securities Lack Liquidity |
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| ● | The Price at Which the Securities 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 |
| ● | Hedging Activities by the Bank and/or the Underwriters May Negatively Impact Investors in the Securities and Cause Our Respective Interests and Those of Our Clients and Counterparties to Be Contrary to Those of Investors in the Securities |
| ● | Market Activities by the Bank or the Underwriters for Their Own Respective Accounts or for Their Respective Clients Could Negatively Impact Investors in the Securities |
| ● | The Bank, the Underwriters and Their Respective Affiliates Regularly Provide Services to, or Otherwise Have Business Relationships with, a Broad Client Base, Which Has Included and May Include the Investment Advisor and/or Reference Asset Constituent Stock Issuers |
| ● | Other Investors in the Securities May Not Have the Same Interests as You |
| ● | The Calculation Agent Can Postpone any Call Date (including the Final Calculation Day) for the Securities if a Market Disruption Event with Respect to the Reference Asset Occurs |
| ● | Anti-dilution Adjustments Relating to the Shares of the Reference Asset Do Not Address Every Event That Could Affect Such Shares. |
| ● | 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 |
| ● | A Participating Dealer or its Affiliates May Realize Hedging Profits Projected by its Proprietary Pricing Models in Addition to any Selling Concession, Creating a Further Incentive for the Participating Dealer to Sell the Securities to You |
| ● | Your Investment is Subject to the Credit Risk of the Bank |
| ● | The COVID-19 Virus May Have an Adverse Impact on the Bank |
| ● | Uncertain Tax Treatment: Significant aspects of the tax treatment of the Securities are uncertain. You should consult your tax advisor about your tax situation. See “Canadian Income Tax Consequences” and “U.S. Federal Income Tax Consequences” in the pricing supplement. |
Not suitable for all investors
Investment suitability must be determined individually for each investor. The Securities described herein are not a suitable investment for all investors. In particular, no investor should purchase the Securities unless they understand and are able to bear the associated market, liquidity and yield risks. Unless market conditions and other relevant factors change significantly in your favor, a sale of the Securities prior to maturity is likely to result in sale proceeds that are substantially less than the Principal Amount per Security. The Underwriters and their respective affiliates are not obligated to purchase the Securities from you at any time prior to maturity.
The Bank has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Bank has filed with the SEC for more complete information about the Bank and this offering. You may get these documents for free by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, the Bank, any Underwriter or any dealer participating in the offering will arrange to send you the prospectus if you request it by calling your financial advisor or by calling Wells Fargo Securities, LLC at 866-346-7732.
Not a research report
This material is not a product of the Bank’s research department.
Consult your tax advisor
Investors should review carefully the preliminary pricing supplement and consult their tax advisors regarding the application of the U.S. federal tax laws to their particular circumstances, as well as any tax consequences arising under the laws of any state, local or non-U.S. jurisdiction.
GDX® and VanEck Vectors® are trademarks of Van Eck Associates Corp. (“VanEck”). The Securities are not sponsored, endorsed, sold or promoted by VanEck or the VanEck Vectors® ETF Trust (the “Trust”). Neither the Trust nor VanEck makes any representations or warranties to the holders of the Securities or any member of the public regarding the advisability of investing in the Securities. Neither the Trust nor VanEck will have any obligation or liability in connection with the registration, operation, marketing, trading or sale of the Securities or in connection with our use of information about the VanEck Vectors® Gold Miners ETF.
Wells Fargo Advisors is a trade name used by Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC, members SIPC, separate registered broker-dealers and non-bank affiliates of Wells Fargo & Company.
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