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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 July 26, 2024
|
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 STR-1 dated March 27, 2023) |
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Units
$10 principal amount per unit
CUSIP No.
![]() |
Pricing Date*
Settlement Date*
Maturity Date*
|
August , 2024
August , 2024
August , 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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Autocallable Strategic Accelerated Redemption Securities® Linked to a Basket of Three ETFs
◾
Automatically callable if the Observation Level on any Observation Date, occurring approximately six, nine and twelve months after the pricing
date, is at or above the Starting Value
◾ In the event of an automatic call, the amount payable per unit will be:
◾ [$10.450 to $10.500] if called on the first Observation Date
◾ [$10.675 to $10.750] if called on the second Observation Date
◾ [$10.900 to $11.000] if called on the final Observation Date
◾ The Basket will be comprised of the Energy Select Sector SPDR® Fund, the Financial Select Sector SPDR® Fund and the Industrial Select Sector SPDR® Fund, each of which will be given an equal weight.
◾ If not called on either of the first two Observation Dates, a maturity of approximately one year
◾ If not called, 1-to-1 downside exposure to decreases in the Basket with up to 100.00% of your principal amount at risk
◾ All payments 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 $0.05 per unit. See “Structuring the Notes”
◾ Limited secondary market liquidity, with no exchange listing
◾ The notes are unsecured debt securities and are not savings accounts or insured deposits of a bank. The notes are not insured or guaranteed by the Canada Deposit Insurance Corporation
(the “CDIC”), the U.S. Federal Deposit Insurance Corporation (the “FDIC”), or any other governmental agency of Canada, the United States or any other jurisdiction
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Per Unit
|
Total
|
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Public offering price(1)
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$ 10.000
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$
|
Underwriting discount(1)
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$ 0.125
|
$
|
Proceeds, before expenses, to BNS
|
$ 9.875
|
$
|
(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
$9.975 per unit and $0.100 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
|
Autocallable Strategic Accelerated Redemption Securities®
Linked to a Basket of Three ETFs, due August , 2025 |
Issuer:
|
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 one year, if not called on either of the first two Observation Dates
|
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Market Measure:
|
An equally weighted basket comprised of three ETFs which are the Energy Select Sector SPDR® Fund (Bloomberg symbol: “XLE”, the “XLE”), the Financial Select Sector SPDR®
Fund (Bloomberg symbol: “XLF”, the “XLF”) and the Industrial Select Sector SPDR® Fund (Bloomberg symbol: “XLI”, the “XLI”)
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Starting Value:
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The Starting Value will be set to 100.00 on the pricing date.
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Observation
Level:
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The value of the Market Measure on the applicable Observation Date
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Ending Value:
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The Observation Level of the Market Measure on the final Observation Date
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Observation
Dates:
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On or about February , 2025, May , 2025 and August , 2025, (the final Observation Date), approximately six, nine and twelve months after the pricing date.
The Observation Dates are subject to postponement in the event of Market Disruption Events, as described on page PS-26 of product supplement EQUITY STR-1.
|
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Call Level:
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100.00% of the Starting Value
|
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Call Amounts
(per Unit) and
Call Premiums:
|
[$10.450 to $10.500], representing a Call Premium of [4.50% to 5.00%] of the principal amount, if called on the first Observation Date; [$10.675 to $10.750], representing a Call
Premium of [6.75% to 7.50%] of the principal amount, if called on the second Observation Date; and [$10.900 to $11.000], representing a Call Premium of [9.00% to 10.00%] of the principal amount, if called on the final Observation
Date. The actual Call Amounts and Call Premiums will be determined on the pricing date.
|
||
Call Settlement
Dates:
|
Approximately the fifth business day following the applicable Observation Date, subject to postponement as described on page PS-24 of product supplement EQUITY STR-1; provided however
that the Call Settlement Date related to the final Observation Date will be the maturity date.
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Price Multiplier:
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1 for each Basket Component, subject to adjustment for certain corporate events relating to that Basket Component, as described on page PS-29 of product supplement EQUITY STR-1.
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Threshold Value:
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100.00% of the Starting Value
|
Autocallable Strategic Accelerated Redemption Securities®
Linked to a Basket of Three ETFs, due August , 2025 |
Fees and
Charges:
|
The underwriting discount of $0.125 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-18
|
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Calculation
Agent:
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BofA Securities, Inc. (“BofAS”)
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Autocallable Strategic Accelerated Redemption Securities®
Linked to a Basket of Three ETFs, due August , 2025 |
◾ |
Product supplement EQUITY STR-1 dated March 27, 2023:
|
◾ |
Prospectus supplement dated December 29, 2021:
|
◾ |
Prospectus dated December 29, 2021:
|
◾ |
You anticipate that the Observation Level of the Market Measure on any of the Observation Dates will be equal to or greater than the Call Level and, if the notes are automatically called prior to the final Observation Date, you
accept an early exit from your investment.
|
◾ |
You accept that the return on the notes will be limited to the return represented by the applicable Call Premium even if the percentage change in the value of the Market Measure is greater than the applicable Call Premium.
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◾ |
You are willing to risk a loss of principal and return if the notes are not automatically called and the Basket decreases from the Starting Value to the Ending Value.
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◾ |
You are willing to forgo interest payments that are paid on conventional interest-bearing debt securities.
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◾ |
You are willing to forgo dividends or other benefits of owning the Basket Components or the securities held by the Basket Components.
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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.
|
◾
|
You are willing to assume our credit risk, as issuer of the notes, for all payments under the notes, including the Call Amount or the Redemption Amount.
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◾ |
You wish to make an investment that cannot be automatically called.
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◾ |
You believe that the value of the Basket will decrease from the Starting Value to the Ending Value.
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◾ |
You anticipate that the Observation Level will be less than the Call Level on each Observation Date.
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◾ |
You seek an uncapped return on your investment.
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◾ |
You seek principal repayment or preservation of capital.
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◾ |
You seek interest payments or other current income on your investment.
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◾ |
You want to receive dividends or other benefits of owning the Basket Components or the securities held by the Basket Components.
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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.
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We urge you to consult your investment, legal, tax, accounting, and other advisors concerning an investment in the notes.
|
Autocallable Strategic Accelerated Redemption Securities®
Linked to a Basket of Three ETFs, due August , 2025 |
(1) |
the Starting Value of 100.00;
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(2) |
the Threshold Value of 100.00;
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(3) |
the Call Level of 100.00;
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(4) |
an expected term of the notes of approximately one year, if the notes are not called on either of the first two Observation Dates;
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(5) |
a Call Premium of 4.75% of the principal amount if the notes are called on the first Observation Date, 7.125% if called on the second Observation Date and 9.50% if called on the final Observation Date (the midpoint of the applicable
Call Premium ranges); and
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(6) |
Observation Dates occurring approximately six, nine and twelve months after the pricing date.
|
Autocallable Strategic Accelerated Redemption Securities®
Linked to a Basket of Three ETFs, due August , 2025 |
Notes Are Called on an Observation
Date
|
Notes Are
Not Called
on Any
Observation
Date
|
|||
Example 1
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Example 2
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Example 3
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Example 4
|
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Starting Value
|
100.00
|
100.00
|
100.00
|
100.00
|
Call Level
|
100.00
|
100.00
|
100.00
|
100.00
|
Threshold Value
|
100.00
|
100.00
|
100.00
|
100.00
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Observation Level on the First Observation Date
|
150.00
|
90.00
|
90.00
|
88.00
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Observation Level on the Second Observation Date
|
N/A
|
105.00
|
90.00
|
78.00
|
Observation Level on the Final Observation Date
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N/A
|
N/A
|
125.00
|
85.00
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Return on the Basket
|
50.00%
|
5.00%
|
25.00%
|
-15.00%
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Return on the Notes
|
4.75%
|
7.125%
|
9.50%
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-15.00%
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Call Amount / Redemption Amount per Unit
|
$10.4750
|
$10.7125
|
$10.9500
|
$8.5000
|
Autocallable Strategic Accelerated Redemption Securities®
Linked to a Basket of Three ETFs, due August , 2025 |
◾ |
If the notes are not automatically called, your investment will 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 investment return is limited to the return represented by the applicable Call Premium and may be less than a comparable investment directly in the Basket Components or the securities held by the Basket Components.
|
◾ |
Changes in the price of one of the Basket Components may be offset by changes in the price of the other Basket Component.
|
◾ |
The sponsor of the underlying index of a Basket Component (each, an “Underlying Index”) and the trustee of a Basket Component may adjust the relevant Basket Component in a way that may adversely affect its price and your interests
and these entities have no obligation to consider your interests.
|
◾ |
You will have no rights of a holder of the Basket Components or the securities held by the Basket Components, and you will not be entitled to receive any dividends or other distributions by the Basket Components, any shares of the
Basket Components or the securities held by the Basket Components.
|
◾ |
While we, MLPF&S, BofAS or our or their respective affiliates may from time to time own shares of the Basket Components or the securities held by the Basket Components, none of us, MLPF&S, BofAS or our or their respective
affiliates control any Basket Component and have not verified any disclosure made with respect to any Basket Component.
|
◾ |
There are liquidity and management risks associated with the Basket Components.
|
◾ |
The performance of a Basket Component may not correlate with the performance of its Underlying Index as well as the net asset value per share of such Basket Component, especially during periods of market volatility when the liquidity
and the market price of such Basket Component and/or the securities held by such Basket Component may be adversely affected, sometimes materially.
|
◾ |
Payments on the notes will not be adjusted for all corporate events that could affect the Basket Components. See “Description of The Notes— Anti-Dilution and Discontinuance Adjustments Relating to Underlying Funds” beginning on page
PS-29 of product supplement EQUITY STR-1.
|
◾ |
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-18.
|
◾ |
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 Basket, 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.
|
Autocallable Strategic Accelerated Redemption Securities®
Linked to a Basket of Three ETFs, due August , 2025 |
◾ |
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 the Basket Components or the securities held by the Basket Components), 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-39 of product supplement EQUITY STR-1.
|
Autocallable Strategic Accelerated Redemption Securities®
Linked to a Basket of Three ETFs, due August , 2025 |
Autocallable Strategic Accelerated Redemption Securities®
Linked to a Basket of Three ETFs, due August , 2025 |
Basket Component
|
Bloomberg
Symbol
|
Initial
Component
Weight
|
Closing
Market
Price(1)(2)
|
Hypothetical
Component
Ratio(1)(3)
|
Initial Basket
Value
Contribution
|
The Energy Select Sector SPDR® Fund
|
XLE
|
33.34%
|
$91.79
|
0.36322039
|
33.34
|
The Financial Select Sector SPDR® Fund
|
XLF
|
33.33%
|
$43.09
|
0.77349733
|
33.33
|
The Industrial Select Sector SPDR® Fund
|
XLI
|
33.33%
|
$126.14
|
0.26423022
|
33.33
|
Starting Value
|
100.00
|
(1) |
The actual Closing Market Price of each Basket Component and the resulting actual Component Ratios will be determined on the pricing date, subject to adjustment as more fully described in the section entitled “Description of the
Notes—Basket Market Measures—Determination of the Component Ratio for Each Basket Component” beginning on page PS-34 of product supplement EQUITY STR-1 if a Market Disruption Event occurs on the pricing date as to any Basket Component
or the pricing date is determined by the calculation agent not to be a Market Measure Business Day for any Basket Component by reason of an extraordinary event, occurrence, declaration or otherwise.
|
(2) |
These were the Closing Market Prices of the Basket Components on July 22, 2024.
|
(3) |
Each hypothetical Component Ratio equals the Initial Component Weight of the relevant Basket Component (as a percentage) multiplied by 100.00, and then divided by the Closing Market Price of that Basket Component on July 22, 2024 and
rounded to eight decimal places.
|
Autocallable Strategic Accelerated Redemption Securities®
Linked to a Basket of Three ETFs, due August , 2025 |
Autocallable Strategic Accelerated Redemption Securities®
Linked to a Basket of Three ETFs, due August , 2025 |
Autocallable Strategic Accelerated Redemption Securities®
Linked to a Basket of Three ETFs, due August , 2025 |
• |
Each of the component stocks in a Select Sector Index (the “Component Stocks”) is a constituent company of the SPX.
|
• |
The eleven Select Sector Indices together will include all of the companies represented in the SPX and each of the stocks in the SPX will be allocated to at least one of the Select Sector Indices.
|
• |
The Index Compilation Agent assigns each constituent stock of the SPX to a Select Sector Index. The Index Compilation Agent assigns a company’s stock to a particular Select Sector Index based on S&P Dow Jones Indices’s sector
classification methodology as set forth in its Global Industry Classification Standard.
|
• |
Each Select Sector Index is calculated by S&P Dow Jones Indices using a modified “market capitalization” methodology. This design ensures that each of the component stocks within a Select Sector Index is represented in a
proportion consistent with its percentage with respect to the total market capitalization of that Select Sector Index.
|
• |
For reweighting purposes, each Select Sector Index is rebalanced quarterly after the close of business on the second to last calculation day of March, June, September and December using the following procedures: (1) The
rebalancing reference date is two business days prior to the last calculation day of each quarter; and (2) With prices reflected on the rebalancing reference date, and membership, shares outstanding, additional weight factor
(capping factor) and investable weight factors (as described in the section “Computation of the S&P 500 Index®” below) as of the rebalancing effective date, each company is weighted using the modified market
capitalization methodology. Modifications are made as defined below.
|
i. |
The indices are first evaluated to ensure none of the indices breach the maximum allowable limits defined in rules (ii) and (v) below. If any of the allowable limits are breached, the component stocks are reweighted based on their
float-adjusted market capitalization weights.
|
ii. |
If any component stock has a weight greater than 24%, that component stock has its float-adjusted market capitalization weight capped at 23%. The 23% weight cap creates a 2% buffer to ensure that no component stock exceeds 25% as of
the quarter-end diversification requirement date.
|
iii. |
All excess weight is equally redistributed to all uncapped component stocks within the relevant Select Sector Index.
|
iv. |
After this redistribution, if the float-adjusted market capitalization weight of any other component stock(s) then breaches 23%, the process is repeated iteratively until no component stock breaches the 23% weight cap.
|
v. |
The sum of the component stocks 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.
|
Autocallable Strategic Accelerated Redemption Securities®
Linked to a Basket of Three ETFs, due August , 2025 |
vi. |
If the rule in step (v) is breached, all the component stocks are ranked in descending order of their float-adjusted market capitalization weights and the first component stock that causes the 50% limit to be breached has its weight
reduced to 4.6%.
|
vii. |
This excess weight is equally redistributed to all component stocks with weights below 4.6%. This process is repeated iteratively until step (v) is satisfied.
|
viii. |
Index share amounts are assigned to each component stock 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 component stock at
the rebalancing differs somewhat from these weights due to market movements.
|
ix. |
If necessary, the reweighting process may take place more than once prior to the close on the last business day of March, June, September or December to ensure conformity with all diversification requirements.
|
Autocallable Strategic Accelerated Redemption Securities®
Linked to a Basket of Three ETFs, due August , 2025 |
Autocallable Strategic Accelerated Redemption Securities®
Linked to a Basket of Three ETFs, due August , 2025 |
Autocallable Strategic Accelerated Redemption Securities®
Linked to a Basket of Three ETFs, due August , 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;
|
• |
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.
|
Autocallable Strategic Accelerated Redemption Securities®
Linked to a Basket of Three ETFs, due August , 2025 |
Autocallable Strategic Accelerated Redemption Securities®
Linked to a Basket of Three ETFs, due August , 2025 |
Autocallable Strategic Accelerated Redemption Securities®
Linked to a Basket of Three ETFs, due August , 2025 |
Autocallable Strategic Accelerated Redemption Securities®
Linked to a Basket of Three ETFs, due August , 2025 |
1 Year Bank Nova Scotia Halifax (PK) Chart |
1 Month Bank Nova Scotia Halifax (PK) Chart |
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