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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 | |
---|---|---|---|---|---|---|---|---|
-0.34 | -0.70% | 48.05 | 48.495 | 48.04 | 48.19 | 776,119 | 00:08:42 |
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 January 15, 2019
|
P ricing Supplement dated January ● , 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 Energy Select Sector SPDR ® Fund Due February 5, 2021 |
●
|
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 public
1
|
100.00%
|
$
●
|
Underwriting commissions
2
|
2.75%
|
$
●
|
Proceeds to The Bank of Nova Scotia
3
|
97.25%
|
$
●
|
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:
|
064159NA0 / US064159NA08
|
Type of Securities:
|
Market Linked Securities – Auto-Callable with Fixed Percentage Buffered Downside, Principal at Risk Securities
|
Reference Asset:
|
The Energy Select Sector SPDR
®
Fund (Bloomberg Ticker: XLE)
|
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 January 31, 2019
|
Trade Date:
|
Expected to be January 31, 2019
|
Original Issue Date:
|
Expected to be February 5, 2019 (to be determined on the Trade Date and expected to be the 3
rd
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, 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:
|
February 5, 2021. 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:
|
January 29, 2021 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
|
February 5, 2020
|
[9.00 – 10.00]% of the Principal Amount
|
$[1,090.00] – $[1,100.00]
|
|
August 5, 2020
|
[13.50 - 15.00]% of the Principal Amount
|
$[1,135.00] – $[1,150.00]
|
|
January 29, 2021*
|
[18.00 - 20.00]% of the Principal Amount
|
$[1,180.00] – $[1,200.00]
|
|
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.
|
* January 29, 2021 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.
|
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
CIDC 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 24 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 in the energy sector.
|
·
|
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 24 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 in the energy sector
.
|
·
|
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;
|
• |
the hypothetical pre-tax total rate of return; and
|
• |
the hypothetical pre-tax annualized 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
|
Hypothetical pre-tax annualized rate of return
(1)
|
1st Call Date
|
$1,095.00
|
9.50%
|
9.11%
|
2nd Call Date
|
$1,142.50
|
14.25%
|
8.97%
|
3rd Call Date
|
$1,190.00
|
19.00%
|
8.88%
|
(1) |
The annualized rates of return are calculated with compounding on a semi-annual basis.
|
• |
the hypothetical percentage change from the hypothetical Starting Price to the hypothetical Ending Price, assuming a hypothetical Starting Price of $61.86;
|
• |
the hypothetical Redemption Amount at Maturity per Security;
|
• |
the hypothetical pre-tax total rate of return; and
|
• |
the hypothetical pre-tax annualized 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
|
Hypothetical pre-tax annualized rate of return
(1)
|
$
58.77
|
-5.00%
|
$1,000.00
|
0.00%
|
0.00%
|
$
55.67
|
-10.00%
|
$1,000.00
|
0.00%
|
0.00%
|
$55.06
|
-11.00%
|
$990.00
|
-1.00%
|
-0.50%
|
$49.49
|
-20.00%
|
$900.00
|
-10.00%
|
-5.19%
|
$46.40
|
-25.00%
|
$850.00
|
-15.00%
|
-7.95%
|
$30.93
|
-50.00%
|
$600.00
|
-40.00%
|
-23.95%
|
$15.47
|
-75.00%
|
$350.00
|
-65.00%
|
-46.11%
|
$0.00
|
-100.00%
|
$100.00
|
-90.00%
|
-87.44%
|
(1) |
The annualized rates of return are calculated with compounding on a semi-annual basis.
|
Hypothetical Payments AT MATURITY On the Securities
Additional risks
other direct or indirect interests in those securities and in other markets that may not be consistent with your interests and may adversely affect the price of the Reference Asset and/or the value of the Securities. Any of these financial market activities may, individually or in the aggregate, have an adverse effect on the price of the Reference Asset and the market for your Securities, and you should expect that our interests and those of our affiliates and those of the Underwriters and/or of their respective affiliates, or our or their clients or counterparties, will at times be adverse to those of investors in the Securities.
InFORMATION REGARDING THE REFERENCE ASSET
(1)
|
The rebalancing reference date is two business days prior to the last business day of March, June, September and December.
|
(2)
|
With prices reflected on the rebalancing reference date, and membership, shares outstanding, and other metrics as of the
rebalancing effective date, each company is weighted using the modified market capitalization methodology. Modifications are made as described below.
|
(3)
|
The Select Sector Indices are first evaluated based on their companies’ modified market capitalization weights to ensure none of
the Select Sector Indices breach the maximum allowable limits defined in paragraphs 4 and 7 below. If a Select Sector Index breaches any of the allowable limits, the companies are reweighted based on their float-adjusted market
capitalization weights calculated using the prices as of the rebalancing reference date, and membership, shares outstanding and other metrics as of the rebalancing effective date.
|
(4)
|
If any company has a weight greater than 24%, that company has its float-adjusted market capitalization weight capped at 23%. The
cap is set to 23% to allow for a 2% buffer. This buffer is needed to ensure that no company exceeds 25% as of the quarter end diversification requirement date.
|
(5)
|
All excess weight is equally redistributed to all uncapped companies within the relevant Select Sector Capped Index.
|
(6)
|
After this redistribution, if the float-adjusted market capitalization weight of any other company then breaches 23%, the process
is repeated iteratively until no company breaches the 23% weight cap.
|
(7)
|
The sum of the companies with weight greater than 4.8% cannot exceed 50% of the total index weight. These caps are set to allow
for a buffer below the 5% limit.
|
(8)
|
If the rule in paragraph 7 is breached, all the companies are ranked in descending order of their float-adjusted market
capitalization weights and the first stock that causes the 50% limit to be breached is identified. The weight of this company is, then, reduced to 4.6%.
|
(9)
|
This excess weight is equally redistributed to all companies with weights below 4.6%. This process is repeated iteratively until
paragraph 7 is satisfied.
|
(10)
|
Index share amounts are assigned to each constituent to arrive at the weights calculated above. Since index shares are assigned
based on prices one business day prior to rebalancing, the actual weight of each constituent at the rebalancing differs somewhat from these weights due to market movements.
|
· |
Market Capitalization.
The
unadjusted company market capitalization should be within the specified range applicable to the S&P 500
®
Index, as noted above. This range is reviewed from time to time to assure consistency with market conditions. For
spin-offs, membership eligibility is determined using when-issued prices, if available.
|
·
|
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) 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.
|
·
|
Domicile.
The company should
be a U.S. company, meaning a company that has the following characteristics:
|
o
|
the company should file 10-K annual reports;
|
o
|
the U.S. portion of fixed assets and revenues should constitute a plurality of the total, but need not exceed 50%. When these
factors are in conflict, assets determine plurality. Revenue determines plurality when there is incomplete asset information. If this criteria is not met or is ambiguous, S&P Dow Jones may still deem the company to be a U.S.
company for purposes of inclusion in the S&P 500
®
Index 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
|
the primary listing must be on an eligible U.S. exchange as described under “Eligible Securities” below.
|
·
|
Public Float.
There should be
a public float of at least 50% of the company’s stock.
|
·
|
Sector Classification.
The
company is evaluated for its contribution to sector balance maintenance, as measured by a comparison of each GICS
®
sector’s weight in the S&P 500
®
Index with its weight in the S&P 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 equity market, including large-, mid-, small- and micro-cap stocks.
|
·
|
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 equity real estate
investment trusts (“REITs”), financial viability is based on GAAP earnings and/or Funds From Operations (“FFO”), if reported.
|
·
|
Treatment of IPOs.
Initial
public offerings should be traded on an eligible exchange for at least 12 months before being considered for addition to the S&P 500
®
Index. Spin-offs or in-specie distributions from existing constituents do not need to
be seasoned for 12 months prior to their inclusion in the S&P 500
®
Index.
|
·
|
Eligible Securities.
Eligible securities are the common stock of U.S. companies with a primary listing on NYSE, NYSE Arca, NYSE American, Nasdaq Global Select Market, Nasdaq Select Market, Nasdaq Capital Market, Bats BZX, Bats BYX, Bats EDGA, Bats EDGX or
IEX exchanges. Ineligible exchanges include the OTC Bulletin Board and Pink Sheets. 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, tracking stocks, preferred and convertible preferred stock, unit trusts, equity warrants, convertible bonds,
investment trusts, rights and American Depositary Receipts. In addition, as of July 31, 2017, the securities of companies with multiple share class structures (including companies with listed and unlisted share classes) are no longer
eligible to be added to the S&P 500
®
Index, but securities already included in the S&P 500
®
Index have been grandfathered and are not affected by this change.
|
·
|
Companies that are involved in mergers, acquisitions or significant restructuring such that they no longer meet inclusion
criteria:
|
o
|
Companies delisted as a result of merger, acquisition or other corporate action are removed at a time announced by S&P Dow
Jones, 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 S&P 500
®
Index until trading resumes, at the discretion of S&P
Dow Jones. If a stock is moved to the pink sheets or the bulletin board, the stock is removed.
|
o
|
Any company that is removed from the S&P 500
®
Index (including discretionary and bankruptcy/exchange delistings)
must wait a minimum of one year from its removal date before being reconsidered as a replacement candidate.
|
·
|
Companies that substantially violate one or more of the addition criteria.
|
o
|
S&P Dow Jones believes turnover in membership of the S&P 500
®
Index should be avoided when possible. At times
a stock included in the S&P 500
®
Index may appear to temporarily violate one or more of the addition criteria. However, the addition criteria are for addition to the S&P 500
®
Index, not for continued
membership. As a result, the S&P 500
®
Index constituent that appears to violate criteria for addition to the S&P 500
®
Index is not removed unless ongoing conditions warrant its removal. When a stock is
removed from the S&P 500
®
Index, S&P Dow Jones explains the basis for the removal.
|
Type of
Corporate Action |
Comments
|
Divisor
Adjustment? |
Company added/deleted
|
Net change in market value determines divisor adjustment.
|
Yes
|
Change in shares outstanding
|
Any combination of secondary issuance, share repurchase or buy back – share counts revised to reflect change.
|
Yes
|
Stock split
|
Share count revised to reflect new count. Divisor adjustment is not required since the share count and price changes are offsetting.
|
No
|
Spin‑off
|
The spin-off is added to the S&P 500
®
Index on the ex-date at a price of zero.
|
No
|
Change in IWF
|
Increasing (decreasing) the IWF increases (decreases) the total market value of the S&P 500
®
Index. The divisor
change reflects the change in market value caused by the change to an IWF.
|
Yes
|
Special dividend
|
When a company pays a special dividend, the share price is assumed to drop by the amount of the dividend; the divisor adjustment
reflects this drop in index market value.
|
Yes
|
Rights offering
|
Each shareholder receives the right to buy a proportional number of additional shares at a set (often discounted) price. The
calculation assumes that the offering is fully subscribed. Divisor adjustment reflects increase in market capitalization measured as the shares issued multiplied by the price paid.
|
Yes
|
SUPPLEMENTAL PLAN OF DISTRIBUTION (CONFLICTS OF INTEREST)
THE BANK'S ESTIMATED VALUE OF THE SECURITIES
ADDITIONAL INFORMATION ABOUT THE SECURITIES
CANADIAN INCOME TAX CONSEQUENCES
U.S. FEDERAL INCOME TAX CONSEQUENCES
·
|
a non-resident alien individual;
|
·
|
a non-U.S. corporation; or
|
·
|
an estate or trust that, in either case, is not subject to U.S. federal income tax on a net income basis on income or gain from the
Securities.
|
1 Year Bank Nova Scotia Halifax Chart |
1 Month Bank Nova Scotia Halifax Chart |
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