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Name | Symbol | Market | Type |
---|---|---|---|
Bank Nova Scotia Halifax (PK) | USOTC:BNSPF | OTCMarkets | Preference Share |
Price Change | % Change | Price | Bid Price | Offer Price | High Price | Low Price | Open Price | Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|---|---|
0.00 | 0.00% | 18.71 | 18.59 | 37.74 | 0.00 | 01:00:00 |
Subject to Completion
Preliminary Term Sheet
Dated April 30, 2024
|
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-261476 (To Prospectus dated December 29, 2021, Prospectus Supplement dated December 29, 2021 and Product Supplement EQUITY LIRN-1 dated July
28, 2023
|
Units
$10 principal amount per unit CUSIP No. |
Pricing Date*
Settlement Date* Maturity Date* |
May , 2024
June , 2024
May , 2029
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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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Capped Notes with Absolute Return Buffer Linked to the S&P 500® Index
◾
Maturity of approximately 5 years
◾ [110.00% to 130.00%] leveraged upside exposure to increases in the Index, subject to a capped return of 60.00%
◾
A positive return equal to the absolute value of the percentage decline in the level of the Index only if the Index does not decline by more than 20.00% (e.g., if the
negative return of the Index is -5%, you will receive a positive return of +5%)
◾
1-to-1 downside exposure to decreases in the Index beyond a 20.00% decline, with up to 80.00% 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 $0.075 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
|
Total
|
|
Public offering price(1)
|
$ 10.00
|
$
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Underwriting discount(1)
|
$ 0.25
|
$
|
Proceeds, before expenses, to BNS
|
$ 9.75
|
$
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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 $9.95 per unit and $0.20 per unit, respectively. See “Supplement to the Plan of Distribution” below.
|
Are Not FDIC Insured
|
Are Not Bank Guaranteed
|
May Lose Value
|
Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index due May, 2029
|
Terms of the Notes
|
Issuer:
|
The Bank of Nova Scotia (“BNS”)
|
||
Principal
Amount:
|
$10.00 per unit
|
||
Term:
|
Approximately 5 years
|
||
Market
Measure:
|
The S&P 500® Index (Bloomberg symbol: “SPX”), a price return index
|
||
Starting
Value:
|
The closing level of the Market Measure on the pricing date
|
||
Ending
Value:
|
The average of the closing levels of the Market Measure 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-27 of product supplement EQUITY LIRN-1.
|
||
Threshold
Value:
|
80.00% of the Starting Value.
|
||
Participation
Rate:
|
[110.00% to 130.00%]. The actual Participation Rate will be determined on the pricing date.
|
||
Capped
Value:
|
$16.00 per unit, which represents a return of 60.00% over the principal amount.
|
||
Maturity
Valuation
Period:
|
Five scheduled calculation days shortly before the maturity date.
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Fees and
Charges:
|
The underwriting discount of $0.25 per unit listed on the cover page and the hedging related charge of $0.075 per unit described in
“Structuring the Notes” on page TS-14.
|
||
Calculation
Agent:
|
BofA Securities, Inc. (“BofAS”).
|
Redemption Amount Determination
|
Notwithstanding anything to the contrary in the accompanying product supplement, the Redemption Amount will be determined as set forth in
this term sheet. On the maturity date, you will receive a cash payment per unit determined as follows:
|
Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index due May, 2029
|
◾ |
Product supplement EQUITY LIRN-1 dated July 28, 2023:
|
◾ |
Prospectus supplement dated December 29, 2021:
|
◾ |
Prospectus dated December 29, 2021:
|
You may wish to consider an investment in the notes if:
|
◾ |
You anticipate that the Index will either increase moderately from the Starting Value to the Ending Value or decrease from the Starting Value to an Ending Value that is equal to or greater than the Threshold Value.
|
◾ |
You are willing to risk a substantial loss of principal if the Index decreases from the Starting Value to an Ending Value that is below the Threshold Value.
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◾ |
You accept that the return on the notes will be capped.
|
◾ |
You are willing to forgo interest payments that are paid on conventional interest-bearing debt securities.
|
◾ |
You are willing to forgo dividends or other benefits of owning the stocks included in the Index.
|
◾ |
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.
|
◾
|
You are willing to assume our credit risk, as issuer of the notes, for all payments under the notes, including the Redemption Amount.
|
The notes may not be an appropriate investment for you if:
|
◾ |
You believe that the Index will decrease from the Starting Value to an Ending Value that is below the Threshold Value or that it will not increase sufficiently over the term of the notes to provide you with your desired
return.
|
◾ |
You seek 100% principal repayment or preservation of capital.
|
◾ |
You seek an uncapped return on your investment.
|
◾ |
You seek interest payments or other current income on your investment.
|
◾ |
You want to receive dividends or other distributions paid on the stocks included in the Index.
|
◾ |
You seek an investment for which there will be a liquid secondary market.
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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.
|
We urge you to consult your investment, legal, tax, accounting, and other advisors concerning an investment in the notes.
|
Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index due May, 2029
|
This graph reflects the returns on the notes, based on a hypothetical Participation Rate of 120.00% (the midpoint of the Participation Rate range of [110.00% to 130.00%]), the Threshold Value of 80.00% of the Starting Value and the Capped Value of $16.00 per unit. The green line reflects the returns on the notes, while the dotted gray line reflects the returns of
a direct investment in the stocks included in the Index, excluding dividends.
This graph has been prepared for purposes of illustration only.
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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(1)
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Total Rate of Return on the Notes
|
0.00
|
-100.00%
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$2.00
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-80.00%
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25.00
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-75.00%
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$4.50
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-55.00%
|
50.00
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-50.00%
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$7.00
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-30.00%
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60.00
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-40.00%
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$8.00
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-20.00%
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70.00
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-30.00%
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$9.00
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-10.00%
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80.00(2)
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-20.00%
|
$12.00
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20.00%
|
90.00
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-10.00%
|
$11.00
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10.00%
|
95.00
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-5.00%
|
$10.50
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5.00%
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100.00(3)
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0.00%
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$10.00
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0.00%
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110.00
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10.00%
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$11.20
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12.00%
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120.00
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20.00%
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$12.40
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24.00%
|
130.00
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30.00%
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$13.60
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36.00%
|
140.00
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40.00%
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$14.80
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48.00%
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150.00
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50.00%
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$16.00(4)
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60.00%
|
160.00
|
60.00%
|
$16.00
|
60.00%
|
170.00
|
70.00%
|
$16.00
|
60.00%
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(1) |
The Redemption Amount per unit is based on the hypothetical Participation Rate.
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(2) |
This is the hypothetical Threshold Value.
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(3) |
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 Index.
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(4) |
Any positive return based on the appreciation of the Index cannot exceed the return represented by the Capped Value.
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Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index due May, 2029
|
Example 1
|
||
The Ending Value is 60.00, or 60.00% of the Starting Value:
|
||
Starting Value:
|
100.00
|
|
Threshold Value:
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80.00
|
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Ending Value:
|
60.00
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= $8.00 Redemption Amount per unit
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Example 2
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The Ending Value is 90.00, or 90.00% of the Starting Value:
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Starting Value:
|
100.00
|
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Threshold Value:
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80.00
|
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Ending Value:
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90.00
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= $11.00 Redemption Amount per unit. Since the Ending Value is less than the Starting Value but equal to or greater than the Threshold Value, the
Redemption Amount for the notes will be the principal amount plus a positive return equal to the absolute value of the negative return of the Index.
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Example 3
|
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The Ending Value is 110.00, or 110.00% of the Starting Value:
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||
Starting Value:
|
100.00
|
|
Ending Value:
|
110.00
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= $11.20 Redemption Amount per unit
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Example 4
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The Ending Value is 155.00, or 155.00% of the Starting Value:
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Starting Value:
|
100.00
|
|
Ending Value:
|
155.00
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= $16.60, however, because the Redemption Amount for the notes cannot exceed the Capped Value, the Redemption Amount will be $16.00 per unit
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Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index due May, 2029
|
◾ |
Depending on the performance of the Index as measured shortly before the maturity date, your investment may result in a loss; there is no guaranteed return of principal.
|
◾ |
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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◾ |
Your potential for a positive return based on the depreciation of the Index is limited by the Threshold Value and may be less than that of a comparable investment that takes a short position directly in the Index (or the stocks
included in the Index). In addition, the absolute value return feature applies only if the Ending Value is less than the Starting Value but greater than or equal to the Threshold Value. Because the Threshold Value is 80.00% of the
Starting Value, any positive return due to the depreciation of the Index is limited to 20.00%. Any decline in the Ending Value from the Starting Value by more than 20.00% will result in a loss, rather than a positive return, on the
notes. In contrast, for example, a short position in the Index (or the stocks included in the Index) would allow you to receive the full benefit of any decrease in the level of the Index (or the stocks included in the Index).
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◾ |
Your investment return based on any increase in the level of the Index is limited to the return represented by the Capped Value and may be less than a comparable investment directly in the stocks included in the Index.
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◾ |
The Index sponsor may adjust the Index in a way that may adversely affect its level and your interests, and the Index sponsor has no obligation to consider your interests.
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◾ |
You will have no rights of a holder of the securities included in the Index, or of a holder with a short position directly in the Index (or of the securities included in the Index) and you will not be entitled to receive securities
or dividends or other distributions by the issuers of those securities.
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◾ |
While we, MLPF&S, BofAS or our respective affiliates may from time to time own securities of companies included in the Index, except to the extent that the common stock of Bank of America Corporation (the parent company of
MLPF&S and BofAS) is included in the Index, none of us, MLPF&S, BofAS or our respective affiliates control any company included in the Index, and have not verified any disclosure made by any other company.
|
◾ |
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.
|
◾ |
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 Index, 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.
|
◾ |
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.
|
Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index due May, 2029
|
◾ |
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.
|
◾ |
Our business, hedging and trading activities, and those of MLPF&S, BofAS and our and their respective affiliates (including trades in shares of companies included in the Index), 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.
|
◾ |
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.
|
◾ |
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.
|
◾ |
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.
|
◾ |
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-40 of product supplement EQUITY LIRN-1.
|
Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index due May, 2029
|
The S&P 500® Index
|
Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index due May, 2029
|
• |
holdings by other publicly traded corporations, venture capital firms, private equity firms, or strategic partners or leveraged buyout groups;
|
• |
holdings by government entities, including all levels of government within the United States or foreign countries, except for pension and retirement funds; and
|
• |
holdings by current or former officers and directors of the company, funders of the company, or family trusts of officers, directors or founders. Second, holdings of trusts, foundations, pension funds, employee stock ownership
plans or other investment vehicles associated with and controlled by the company.
|
Corporate Action
|
Share Count Revision Required?
|
Divisor Adjustment Required?
|
||
Stock split
|
Yes – share count is revised to reflect new count.
|
No – share count and price changes are off-setting
|
||
Change in shares outstanding (secondary issuance, share repurchase and/or share buy-back)
|
Yes – share count is revised to reflect new count
|
Yes – divisor adjustment reflects change in market capitalization
|
||
Spin-off if spun-off company is not being added to the Index
|
No
|
Yes – divisor adjustment reflects decline in index market value (i.e. value of the spun-off unit)
|
||
Spin-off if spun-off company is being added to the Index and no company is being removed
|
No
|
No
|
||
Spin-off if spun-off company is being added to the Index and another company is being removed
|
No.
|
Yes – divisor adjustment reflects deletion
|
Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index due May, 2029
|
Special dividends
|
No.
|
Yes – calculation assumes that share price drops by the amount of the dividend; divisor adjustment reflects this change in index market value
|
||
Change in IWF
|
No
|
Yes – divisor change reflects the change in market value caused by the change to an IWF
|
||
Company added to or deleted from the Index
|
No.
|
Yes – divisor is adjusted by the net change in market value
|
||
Rights offering
|
No.
|
Yes – divisor adjustment reflects increase in market capitalization (calculation assumes that offering is fully subscribed at the set price)
|
Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index due May, 2029
|
Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index due May, 2029
|
Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index due May, 2029
|
• |
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;
|
• |
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
|
• |
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.
|
Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index due May, 2029
|
Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index due May, 2029
|
Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index due May, 2029
|
Capped Notes with Absolute Return Buffer
Linked to the S&P 500® Index due May, 2029
|
1 Year Bank Nova Scotia Halifax (PK) Chart |
1 Month Bank Nova Scotia Halifax (PK) Chart |
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