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Share Name | Share Symbol | Market | Type |
---|---|---|---|
Bank Nova Scotia Halifax | NYSE:BNS | NYSE | Common Stock |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
-0.26 | -0.56% | 46.48 | 46.94 | 46.21 | 46.94 | 611,583 | 19:00:39 |
Subject to Completion
Preliminary Term Sheet
Dated January 25, 2024
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Filed Pursuant to Rule 433
Registration Statement No. 333-261476 (To Prospectus dated December 29, 2021, Prospectus Supplement dated December 29, 2021 and Product Supplement EQUITY ARN-1 dated
February 2, 2022)
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Units
$10 principal amount per unit
CUSIP No.
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Pricing Date*
Settlement Date*
Maturity Date*
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February , 2024
March , 2024
April , 2025
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*Subject to change based on the actual date the notes are priced for initial sale to the public (the “pricing date”)
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Accelerated Return Notes® Linked to the Invesco S&P 500® Equal Weight ETF
◾ Maturity of approximately 14 months
◾ 3-to-1 leveraged upside exposure to increases in the Underlying
Fund, subject to a capped return of [10.25% to 14.25%]
◾ 1-to-1 downside exposure to decreases in the Underlying Fund,
with up to 100.00% of your principal at risk
◾ All payments occur at maturity and are subject to the credit
risk of The Bank of Nova Scotia
◾ No periodic interest payments
◾ In addition to the underwriting discount set forth below, the
notes include a hedging-related charge of $0.05 per unit. See “Structuring the Notes”
◾ Limited secondary market liquidity, with no exchange listing
◾ The notes are unsecured debt securities and are not savings
accounts or insured deposits of a bank. The notes are not insured or guaranteed by the Canada Deposit Insurance Corporation (the “CDIC”), the U.S. Federal Deposit Insurance Corporation (the “FDIC”), or any other governmental agency
of Canada, the United States or any other jurisdiction
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Per Unit
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Total
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Public offering price(1)
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$10.000
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$
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Underwriting discount(1)
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$0.175
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$
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Proceeds, before expenses, to BNS
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$9.825
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$
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(1) |
For any purchase of 300,000 units or more in a single transaction by an individual investor or in combined transactions with the investor’s household in this offering, the public offering price and the
underwriting discount will be $9.950 per unit and $0.125 per unit, respectively. See “Supplement to the Plan of Distribution” below.
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Are Not FDIC Insured
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Are Not Bank Guaranteed
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May Lose Value
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Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due April, 2025
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Issuer:
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The Bank of Nova Scotia (“BNS”)
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Principal
Amount:
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$10.00 per unit
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Term:
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Approximately 14 months
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Market
Measure:
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The Invesco S&P 500® Equal Weight ETF (Bloomberg symbol: “RSP”)
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Starting
Value:
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The Closing Market Price of the Market Measure on the pricing date
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Ending Value:
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The average of the Closing Market Price of the Underlying Fund multiplied by the Price Multiplier on each calculation day occurring during the Maturity Valuation Period. The
scheduled calculation days are subject to postponement in the event of Market Disruption Events, as described beginning on page PS-24 of product supplement EQUITY ARN-1.
|
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Participation
Rate:
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300.00%
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Capped
Value:
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[$11.025 to $11.425] per unit, which represents a return of [10.25% to 14.25%] over the principal amount. The actual Capped Value will be determined on the pricing date.
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Price
Multiplier:
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1, subject to adjustment for certain corporate events relating to the Underlying Fund, as described beginning on page PS-24 of product supplement EQUITY ARN-1.
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Maturity
Valuation
Period:
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Five scheduled calculation days shortly before the maturity date.
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Fees and
Charges:
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The underwriting discount of $0.175 per unit listed on the cover page and the hedging related charge of $0.05 per unit described in “Structuring the Notes” on page TS-14.
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Calculation
Agent:
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BofA Securities, Inc. (“BofAS”).
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Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due April, 2025
|
◾
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Product supplement EQUITY ARN-1 dated February 2, 2022:
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◾
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Prospectus supplement dated December 29, 2021:
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◾
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Prospectus dated December 29, 2021:
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◾
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You anticipate that the price of the Underlying Fund will increase moderately from the Starting Value to the Ending Value.
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◾
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You are willing to risk a substantial or entire loss of principal if the price of the Underlying Fund decreases from the Starting Value to the Ending Value.
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◾
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You accept that the return on the notes will be capped.
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◾
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You are willing to forgo interest payments that are paid on conventional interest-bearing debt securities.
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◾
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You are willing to forgo the dividends or other benefits of directly owning the Underlying Fund or the securities included in the Underlying Fund.
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◾
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You are willing to accept a limited or no market for sales prior to maturity, and understand that the market prices for the notes, if any, will be affected by various factors, including our actual
and perceived creditworthiness, our internal funding rate and fees and charges on the notes.
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◾
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You are willing to assume our credit risk, as issuer of the notes, for all payments under the notes, including the Redemption Amount.
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◾
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You believe that the price of the Underlying Fund will decrease from the Starting Value to the Ending Value or that it will not increase sufficiently over the term of the notes to provide you with
your desired return.
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◾
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You seek principal repayment or preservation of capital.
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◾
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You seek an uncapped return on your investment.
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◾
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You seek interest payments or other current income on your investment.
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◾
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You want to receive dividends or other benefits of directly owning the Underlying Fund or the securities included in the Underlying Fund.
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◾
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You seek an investment for which there will be a liquid secondary market.
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◾
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You are unwilling or are unable to take market risk on the notes or to take our credit risk as issuer of the notes.
|
Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due April, 2025
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Ending Value
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Percentage Change from the
Starting Value to the Ending
Value
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Redemption Amount per
Unit
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Total Rate of Return on the
Notes
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0.00
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-100.00%
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$0.000
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-100.00%
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25.00
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-75.00%
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$2.500
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-75.00%
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50.00
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-50.00%
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$5.000
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-50.00%
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60.00
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-40.00%
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$6.000
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-40.00%
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70.00
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-30.00%
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$7.000
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-30.00%
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80.00
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-20.00%
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$8.000
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-20.00%
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90.00
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-10.00%
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$9.000
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-10.00%
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95.00
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-5.00%
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$9.500
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-5.00%
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100.00(1)
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0.00%
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$10.000
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0.00%
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102.00
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2.00%
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$10.600
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6.00%
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104.00
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4.00%
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$11.200
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12.00%
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104.09
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4.09%
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$11.225(2)
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12.25%
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110.00
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10.00%
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$11.225
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12.25%
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120.00
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20.00%
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$11.225
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12.25%
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130.00
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30.00%
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$11.225
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12.25%
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140.00
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40.00%
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$11.225
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12.25%
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150.00
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50.00%
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$11.225
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12.25%
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(1)
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The hypothetical Starting Value of 100.00 used in these examples has been chosen for illustrative purposes only and does not represent a likely actual Starting Value of the Underlying Fund.
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(2)
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The Redemption Amount per unit cannot exceed the hypothetical Capped Value.
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Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due April, 2025
|
Example 1
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The Ending Value is 60.00, or 60.00% of the Starting Value:
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Starting Value:
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100.00 |
Ending Value:
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60.00 |
![]() |
= $6.00 Redemption Amount per unit
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Example 2
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The Ending Value is 102.00, or 102.00% of the Starting Value:
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Starting Value:
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100.00 |
Ending Value:
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102.00 |
![]() |
= $10.60 Redemption Amount per unit
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Example 3
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The Ending Value is 130.00, or 130.00% of the Starting Value:
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Starting Value:
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100.00 |
Ending Value:
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130.00 |
![]() |
= $19.00, however, because the Redemption Amount for the notes cannot exceed the Capped Value, the Redemption Amount will be $11.225 per unit
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Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due April, 2025
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◾
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Depending on the performance of the Underlying Fund as measured shortly before the maturity date, your investment may result in a loss; there is no guaranteed return of principal.
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◾
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Your return on the notes may be less than the yield you could earn by owning a conventional fixed or floating rate debt security of comparable maturity.
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◾
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Your investment return is limited to the return represented by the Capped Value and may be less than a comparable investment directly in the Underlying Fund or the securities held by the Underlying
Fund.
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◾
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The sponsor of the Underlying Fund may adjust the Underlying Fund in a way that may adversely affect the value of the notes and the amount payable on the notes, and these entities have no obligation to
consider your interests.
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◾
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The sponsor of the S&P 500® Equal Weight Index (the “Underlying Index”) described below, may adjust the Underlying Index in a way that affects its level, and has no obligation to consider
your interests.
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◾
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You will have no rights of a holder of the Underlying Fund or the securities held by the Underlying Fund, and you will not be entitled to receive any shares of the Underlying Fund or the securities held
by the Underlying Fund, or any dividends or other distributions in respect of the Underlying Fund or the securities held by the Underlying Fund.
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◾
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While we, MLPF&S, BofAS or their or our respective affiliates may from time to time own shares of the Underlying Fund or the securities held by the Underlying Fund, except to the extent that the
common stock of Bank of America Corporation (the parent company of MLPF&S and BofAS), is held by the Underlying Fund, none of us, MLPF&S, BofAS or our or their respective affiliates control the Underlying Fund or any company
held by the Underlying Fund, and have not verified any disclosure made by the Underlying Fund or any other company.
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◾
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There are liquidity and management risks associated with the Underlying Fund.
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◾
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The performance of the Underlying Fund may not correlate with the performance of its Underlying Index as well as the net asset value per share of the Underlying Fund, especially during periods of market
volatility when the liquidity and the market price of the shares of the Underlying Fund and/or the securities held by the Underlying Fund may be adversely affected, sometimes materially.
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◾
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The Redemption Amount will not be adjusted for all corporate events that could affect the Underlying Fund. See “Description of ARNs—Anti-Dilution and Discontinuance Adjustments Relating to Underlying
Funds” beginning on page PS-27 of product supplement EQUITY ARN-1
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◾
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Our initial estimated value of the notes will be lower than the public offering price of the notes. Our initial estimated value of the notes is only an estimate. The public offering price of the notes
will exceed our initial estimated value because it includes costs associated with selling and structuring the notes, as well as hedging our obligations under the notes with a third party, which may include BofAS or one of its
affiliates. These costs include the underwriting discount and an expected hedging related charge, as further described in “Structuring the Notes” on page TS-14.
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◾
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Our initial estimated value of the notes does not represent future values of the notes and may differ from others’ estimates. Our initial estimated value of the notes is determined by reference to our
internal pricing models when the terms of the notes are set. These pricing models consider certain factors, such as our internal funding rate on the pricing date, the expected term of the notes, market conditions and other relevant
factors existing at that time, and our assumptions about market parameters, which can include volatility, dividend rates, interest rates and other factors. Different pricing models and assumptions could provide valuations for the
notes that are different from our initial estimated value. In addition, market conditions and other relevant factors in the future may change, and any of our assumptions may prove to be incorrect. On future dates, the market value of
the notes could change significantly based on, among other things, the performance of the Underlying Fund, changes in market conditions, our creditworthiness, interest rate movements and other relevant factors. These factors, together
with various credit, market and economic factors over the term of the notes, are expected to reduce the price at which you may be able to sell the notes in any secondary market and will affect the value of the notes in complex and
unpredictable ways. Our initial estimated value does not represent a minimum price at which we or any agents would be willing to buy your notes in any secondary market (if any exists) at any time.
|
Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due April, 2025
|
◾
|
Our initial estimated value is not determined by reference to credit spreads or the borrowing rate we would pay for our conventional fixed-rate debt securities. The internal funding rate used in the
determination of our initial estimated value of the notes generally represents a discount from the credit spreads for our conventional fixed-rate debt securities and the borrowing rate we would pay for our conventional fixed-rate debt
securities. If we were to use the interest rate implied by the credit spreads for our conventional fixed-rate debt securities, or the borrowing rate we would pay for our conventional fixed-rate debt securities, we would expect the
economic terms of the notes to be more favorable to you. Consequently, our use of an internal funding rate for the notes would have an adverse effect on the economic terms of the notes, the initial estimated value of the notes on the
pricing date, and the price at which you may be able to sell the notes in any secondary market.
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◾
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A trading market is not expected to develop for the notes. None of us, MLPF&S or BofAS is obligated to make a market for, or to repurchase, the notes. There is no assurance that any party will be
willing to purchase your notes at any price in any secondary market.
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◾
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Our business, hedging and trading activities, and those of MLPF&S, BofAS and our and their respective affiliates (including trades in the Underlying Fund or the securities held by the Underlying
Fund), and any hedging and trading activities we, MLPF&S, BofAS or our or their respective affiliates engage in for our clients’ accounts, may affect the market value of, and return on, the notes and may create conflicts of
interest with you.
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◾
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There may be potential conflicts of interest involving the calculation agent, which is BofAS. We have the right to appoint and remove the calculation agent.
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◾
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Payments on the notes are subject to our credit risk, and actual or perceived changes in our creditworthiness are expected to affect the value of the notes. If we become insolvent or are unable to pay
our obligations, you may lose your entire investment.
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◾
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The U.S. federal income tax consequences of the notes are uncertain, and may be adverse to a holder of the notes. See “Summary of U.S. Federal Income Tax Consequences” below.
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◾
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The conclusion that no portion of the interest paid or credited or deemed to be paid or credited on a note will be “Participating Debt Interest” subject to Canadian withholding tax is based in part on
the current published administrative position of the CRA. There cannot be any assurance that CRA’s current published administrative practice will not be subject to change, including potential expansion in the current administrative
interpretation of Participating Debt Interest subject to Canadian withholding tax. If, at any time, the interest paid or credited or deemed to be paid or credited on a note is subject to Canadian withholding tax, you will receive an
amount that is less than the Redemption Amount. You should consult your own adviser as to the potential for such withholding and the potential for reduction or refund of part or all of such withholding, including under any bilateral
Canadian tax treaty the benefits of which you may be entitled. For a discussion of the Canadian federal income tax consequences of investing in the notes, see “Summary of Canadian Federal Income Tax Consequences” below, “Canadian
Taxation—Debt Securities” on page 66 of the prospectus and “Supplemental Discussion of Canadian Federal Income Tax Consequences” on page PS-36 of product supplement EQUITY ARN-1.
|
Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due April, 2025
|
The Invesco S&P 500® Equal Weight ETF
|
Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due April, 2025
|
•
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Domicile. Only common stocks of U.S. companies are eligible. For index purposes, a U.S. company has the following characteristics:
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o
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the company files 10-K annual reports;
|
o
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the U.S. portion of fixed assets and revenues constitutes a plurality of the total, but need not exceed 50%. When these factors are in conflict, fixed assets determine plurality.
Revenue determines plurality when there is incomplete asset information. Geographic information for revenue and fixed asset allocations are determined by the company as reported in its annual filings. If this criteria is not met or is
ambiguous, SPDJI may still deem the company to be a U.S. company for index purposes if its primary listing, headquarters and incorporation are all in the United States and/or “a domicile of convenience” (Bermuda, Channel Islands,
Gibraltar, islands in the Caribbean, Isle of Man, Luxembourg, Liberia or Panama); and
|
o
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the primary listing is on an eligible U.S. exchange.
|
•
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Exchange Listing. A primary listing on one of the following U.S. exchanges is required: NYSE, NYSE Arca, NYSE American, Nasdaq Global Select Market, Nasdaq
Select Market, Nasdaq Capital Market, Cboe BZX, Cboe BYX, Cboe EDGA or Cboe EDGX exchanges. Ineligible exchanges include the OTC Bulletin Board and Pink Sheets.
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•
|
Organizational Structure and Share Type. Eligible organizational structures and share types are corporations (including equity and mortgage
REITS) and common stock (i.e., shares). Ineligible organizational structures and share types include business development companies, limited partnerships, master limited partnerships, limited liability companies, closed-end funds,
exchange-traded funds, exchange-traded notes, royalty trusts, special purpose acquisition companies, preferred and convertible preferred stock, unit trusts, equity warrants, convertible bonds, investment trusts, rights, American
Depositary Receipts and tracking stocks. As of July 31, 2017, companies with multiple share class structures are not eligible to be added to the S&P U.S. Indices, but securities already included in the S&P U.S. Indices have
been grandfathered and will remain in the S&P U.S. Indices.
|
•
|
Market Capitalization. The unadjusted company market capitalization should be within a specified range. Such ranges are reviewed quarterly
and updated as needed to ensure they reflect current market conditions. For spin-offs, S&P U.S. Index membership eligibility is determined using when-issued prices, if available.
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•
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Liquidity. Using composite pricing and volume, the ratio of annual dollar value traded (defined as average closing price over the period
multiplied by historical volume over the last 365 calendar days) to float-adjusted market capitalization should be at least 1.00, and the stock should trade a minimum of 250,000 shares in each of the six months leading up to the
evaluation date.
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•
|
IWF. The IWF for each company represents the portion of the total shares outstanding that are considered part of the public float for purposes of the S&P
U.S. Indices. An IWF of at least 0.10 is required.
|
•
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Financial Viability. The sum of the most recent four consecutive quarters’ Generally Accepted Accounting Principles (GAAP) earnings (net
income excluding discontinued operations) should be positive as should the most recent quarter. For REITs, financial viability is based on GAAP earnings and/or Funds From Operations (FFO), if reported.
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•
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Treatment of IPOs. Initial public offerings should be traded on an eligible exchange for at least 12 months before being considered for
addition to an S&P U.S. Index. Spin-offs or in-specie distributions from existing constituents do not need to be seasoned for 12 months prior to their inclusion in an S&P U.S. Index.
|
•
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Sector Balance. A company is evaluated for its contribution to sector balance maintenance, as measured by a comparison of each GICS®
sector’s weight in an index with its weight in the S&P U.S. Total Market Index, in the relevant market capitalization range. The S&P Total Market Index is a float-adjusted, market-capitalization weighted index designed to
track the broad U.S. equity market, including large-, mid-, small- and micro-cap stocks.
|
Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due April, 2025
|
•
|
A company involved in a merger, acquisition or significant restructuring such that it no longer meets the eligibility criteria is deleted from the S&P U.S. Indices at a time
announced by SPDJI, normally at the close of the last day of trading or expiration of a tender offer. Constituents that are halted from trading may be kept in the index until trading resumes, at the discretion of the Index Committee.
If a stock is moved to the pink sheets or the bulletin board, the stock is removed.
|
•
|
A company that substantially violates one or more of the eligibility criteria may be deleted at the Index Committee’s discretion.
|
Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due April, 2025
|
Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due April, 2025
|
Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due April, 2025
|
•
|
the investor’s spouse (including a domestic partner), siblings, parents, grandparents, spouse’s parents, children and grandchildren, but excluding accounts held by aunts, uncles, cousins, nieces,
nephews or any other family relationship not directly above or below the individual investor;
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•
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a family investment vehicle, including foundations, limited partnerships and personal holding companies, but only if the beneficial owners of the vehicle consist solely of the investor or members of the
investor’s household as described above; and
|
•
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a trust where the grantors and/or beneficiaries of the trust consist solely of the investor or members of the investor’s household as described above; provided that, purchases of the notes by a trust
generally cannot be aggregated together with any purchases made by a trustee’s personal account.
|
Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due April, 2025
|
Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due April, 2025
|
Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due April, 2025
|
Accelerated Return Notes®
Linked to the Invesco S&P 500® Equal Weight ETF due April, 2025
|
1 Year Bank Nova Scotia Halifax Chart |
1 Month Bank Nova Scotia Halifax Chart |
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