PRELIMINARY PRICING SUPPLEMENT | Filed Pursuant to Rule 424(b)(2) |
Subject to Completion | Registration No. 333-228614 |
Dated May 1, 2019
|
The Bank of Nova Scotia
$
Market Linked Securities – Auto-Callable with Fixed Percentage Buffered Downside, Principal at Risk Securities
Linked to the EURO STOXX 50® Index Due June 6, 2022
Call Date
|
Call Premium*
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June 5, 2020
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[8.00 - 9.00]% of the Principal Amount
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June 7, 2021
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[16.00 - 18.00]% of the Principal Amount
|
May 27, 2022 (which is also the Final Calculation
Day)
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[24.00 - 27.00]% of the Principal Amount
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*The actual Call Premium applicable to each Call Date will be determined on the Pricing Date.
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●
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if the Ending Level is less than the Starting Level 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
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●
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if the Ending Level is less than the Starting Level 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) $1,000 times (ii) the sum of the Percentage Change plus 10.00%.
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Per Security
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Total
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Price to public1
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100.00%
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$●
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Underwriting commissions2
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3.00%
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$●
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Proceeds to The Bank of Nova Scotia3
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97.00%
|
$●
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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") |
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Issue:
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Senior Note Program, Series A | |
CUSIP/ISIN:
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064159NZ5 / US064159NZ58
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Type of Securities:
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Market Linked Securities – Auto-Callable with Fixed Percentage Buffered Downside, Principal at Risk Securities
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Reference Asset or Index:
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The EURO STOXX 50® Index (Bloomberg Ticker: SX5E)
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Sponsor:
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STOXX Limited
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Minimum Investment and Denominations:
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$1,000 and integral multiples of $1,000 in excess thereof
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Principal Amount:
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$1,000 per Security
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Original Offering Price:
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100.00% of the Principal Amount of each Security
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Currency:
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U.S. Dollars.
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Pricing Date:
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Expected to be May 31, 2019
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Trade Date:
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Expected to be May 31, 2019
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Original Issue Date:
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Expected to be June 5, 2019 (to be determined on the Trade Date and expected to be the 3rd
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.
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Maturity Date:
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June 6, 2022 or, if such day is not a Business Day, the next succeeding Business Day. 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.
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Final Calculation Day:
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May 27, 2022 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.
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Trading Day:
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A “Trading Day” with respect to the Reference Asset means a day, as determined by the Calculation Agent, on which (i) the Sponsor is scheduled to publish the level of the
Reference Asset and (ii) each related exchange is scheduled to be open for trading for its regular trading session.
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Principal at Risk:
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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 Level to the Ending Level of more than 10.00%.
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Automatic Call Feature:
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If the Closing Level of the Index on any Call Date (including the Final Calculation Day) is greater than or equal to the Starting Level, 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 Closing Level of the Index on the applicable Call Date
significantly exceeds the Starting Level. You will not participate in any appreciation of the Index 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.
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Call Dates and Call Premiums: |
Call Date
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Call Premium
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Payment per Security upon an Automatic Call
|
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June 5, 2020
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[8.00 – 9.00]% of the Principal Amount
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$[1,080.00] – $[1,090.00]
|
||
June 7, 2021 |
[16.00 – 18.00]% of the Principal Amount |
$[1,160.00] – $[1,180.00] | ||
May 27, 2022*
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[24.00 – 27.00]% of the Principal Amount
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$[1,240.00] – $[1,270.00]
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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.
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* May 27, 2022 is also the Final Calculation Day.
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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.
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Call Settlement Date:
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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.
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Fees and Expenses:
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Scotia Capital (USA) Inc. or one of our affiliates will purchase the aggregate Principal Amount of the Securities and as part of the distribution, will sell the Securities
to WFS at a discount of up to $30.00 (3.00%) per $1,000 Principal Amount of the Securities. WFS will provide selected dealers, which may include Wells Fargo Advisors (“WFA”), with a selling concession of up to $17.50 (1.75%) per $1,000
Principal Amount of the Securities, and WFA will receive a distribution expense fee of $0.75 (0.075%) per $1,000 Principal Amount of the Securities for Securities sold by WFA.
The price at which you purchase the Securities includes costs that the Bank, the Underwriters or their respective affiliates expect to incur and profits that the Bank, the
Underwriters or their respective affiliates expect to realize in connection with hedging activities related to the Securities, as set forth above. These costs and profits will likely reduce the secondary market price, if any secondary
market develops, for the Securities. As a result, you may experience an immediate and substantial decline in the market value of your Securities on the Pricing Date. See "Additional Risks—The Inclusion of Dealer Spread and Projected Profit
from Hedging in the Original Offering Price is Likely to Adversely Affect Secondary Market Prices" in this pricing supplement.
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Redemption Amount at Maturity:
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If the Securities are not automatically called on any Call Date (including the Final Calculation Day), the Redemption Amount at Maturity will be based
on the performance of the Reference Asset and will be calculated as follows:
● If the Ending Level is less than the Starting Level
and greater than or equal to the Threshold Level, the Redemption Amount at Maturity will equal: $1,000; or
● If the Ending Level is less than the Threshold Level, the Redemption Amount at Maturity will equal:
Principal Amount + [Principal Amount × (Percentage Change + Threshold Percentage)]
In this case you will have 1-to-1 downside exposure to the portion of such decrease in the Reference Asset that
exceeds 10.00%. Accordingly, you could lose up to 90.00% of your initial investment.
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Starting Level:
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The Closing Level of the Reference Asset on the Pricing Date.
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Ending Level:
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The Closing Level of the Reference Asset on the Final Calculation Day.
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Closing Level:
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For any date of determination, the closing level of the Reference Asset published on the Bloomberg Professional® service (“Bloomberg”) page “SX5E<Index>” or any successor page on Bloomberg or any successor service, as applicable. In certain special circumstances, the Closing Level will be determined
by the Calculation Agent. See “—Market Disruption Events”, “—Postponement of a Calculation Day” and “General Terms of the Notes—Unavailability of the Level of the Reference Asset on a Valuation Date” herein.
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Percentage Change:
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The Percentage Change, expressed as a percentage, with respect to the Redemption Amount at Maturity, is calculated as follows:
Ending Level – Starting Level Starting Level For the avoidance of doubt, because the Percentage Change will be calculated only if the Closing Level of the Reference Asset is less than the Starting Level on each Call Date, including the Final Calculation Day, the Percentage Change will be a negative value. |
Threshold Level:
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To be determined on the Pricing Date (equal to the Starting Level multiplied by the difference of 100.00% minus the Threshold Percentage).
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Threshold Percentage:
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10.00%
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Market Disruption Event:
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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(s) or otherwise relating
to securities which (together with any securities affected by an event described in (C) or (E) below) then comprise 20 percent or more of the level of the Reference Asset at any time for each affected security during the one-hour period
that ends at the Scheduled Closing Time for the relevant exchange for such security on that day, whether by reason of movements in price exceeding limits permitted by those relevant exchanges or otherwise.
(B) The occurrence or existence of a material suspension of or limitation imposed on trading by any related exchange or otherwise in futures or
options contracts relating to the Reference Asset on any related exchange at any time during the one-hour period that ends at the Scheduled Closing Time for the related exchange on that day, whether by reason of movements in price
exceeding limits permitted by the related 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 on the relevant exchange(s) for, securities that (together with any securities affected by an event described in (A) above or (E) below) then comprise 20 percent
or more of the level of the Reference Asset at any time for each affected security during the one-hour period that ends at the Scheduled Closing Time for such relevant exchange for such security 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 the Reference Asset on any related exchange at any time during the one-hour period that ends at the Scheduled Closing
Time on such related exchange on that day.
(E) The closure on any Exchange Business Day of the relevant exchange(s) on which securities that (together with any securities
affected by an event described in (A) or (C) above) then comprise 20 percent or more of the level of the Reference Asset are traded or any related exchange prior to its Scheduled Closing Time unless the earlier closing time is announced
by such relevant exchange or related 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 exchange, as applicable, and (2) the
submission deadline for orders to be entered into the relevant exchange or related exchange, as applicable, system for execution at the Scheduled Closing Time for such relevant exchange or related exchange, as applicable, on that day.
(F) The Sponsor fails to publish the level of the Reference Asset or any successor index (other than as a result of the Sponsor
having discontinued publication of such Reference Asset or successor index and no successor index being available).
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(G) Any related exchange fails to open for trading during its regular trading session.
For purposes of determining whether a market disruption event has occurred:
1) the relevant percentage contribution of a security to the level of the Reference Asset will be based on a comparison of (x) the portion of the level of the Reference Asset attributable to
that security and (y) the overall level of the Reference Asset, in each case using the official opening weightings as published by the Sponsor as part of the market opening data;
2) the “Scheduled Closing Time” of (i) any relevant exchange on any Trading Day means the scheduled weekday closing time of such relevant exchange on such Trading Day, without regard to after
hours or any other trading outside the regular trading session hours and (ii) of any related exchange on any Trading Day means the close of trading on such related exchange on such Trading Day;
and
3) an “Exchange Business Day” means any
Trading Day on which (i) the Sponsor publishes the level of the Reference Asset and (ii) each related exchange is open for trading during its regular trading session, notwithstanding any related exchange closing prior to its Scheduled
Closing Time.
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Relevant Exchange:
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The “relevant exchange” for any security then underlying the Reference Asset means the primary exchange or quotation system on which such security is traded, as determined
by the Calculation Agent.
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Related Exchange:
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The “related exchange” means an 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.
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Postponement of a Calculation Day:
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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 Closing Level of the Reference Asset on such eighth
Trading Day will be determined (or, if not determinable, estimated by the Calculation Agent in a manner which is considered commercially reasonable under the circumstances) by the Calculation Agent on that eighth Trading Day, regardless of
the occurrence or continuance of the market disruption event on that day. In such an event, the Calculation Agent will make a good faith estimate in its sole discretion of the Closing Level that would have prevailed on such date in the
absence of the market disruption event.
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.
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Form of Securities:
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Book-entry
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Calculation Agent:
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Scotia Capital Inc., an affiliate of the Bank
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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 CDIC Act, the U.S. Federal Deposit Insurance Act or under any other deposit insurance regime. | |
Tax Redemption:
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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.
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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
You should read this pricing supplement together with the accompanying prospectus dated December 26, 2018, as supplemented by the accompanying prospectus supplement dated December 26, 2018 and the product prospectus supplement (Equity Linked Index Notes, Series A) dated December 26, 2018, relating to our Senior Note Program, Series A, of which these Securities are a part. Certain terms used but not defined in this pricing supplement will have the meanings given to them in the accompanying product prospectus supplement. In the event of any conflict, this pricing supplement will control. The Securities may vary from the terms described in the accompanying prospectus, prospectus supplement, and product prospectus supplement in several important ways. You should read this pricing supplement, including the documents incorporated herein, carefully.
This pricing supplement, together with the documents listed below, contains the terms of the Securities and supersedes all prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth in "Additional Risk Factors Specific to the Notes" in the accompanying product prospectus supplement, as the Securities involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors before you invest in the Securities. You may access these documents on the SEC website at www.sec.gov as follows (or if that address has changed, by reviewing our filings for the relevant date on the SEC website at http://www.sec.gov/cgi-bin/browse-edgar?action=getcompany&CIK=0000009631):
Prospectus dated December 26, 2018:
Prospectus Supplement dated December 26, 2018:
Product Prospectus Supplement (Equity Linked Index Notes, Series A), dated December 26, 2018:
The Bank of Nova Scotia has filed a registration statement (including a prospectus, a prospectus supplement, and a product prospectus supplement) with the SEC for the offering to which this pricing supplement relates. Before you invest, you should read those documents and the other documents relating to this offering that we have filed with the SEC for more complete information about us and this offering. You may obtain these documents without cost by visiting EDGAR on the SEC Website at www.sec.gov. Alternatively, The Bank of Nova Scotia, any agent or any dealer participating in this offering will arrange to send you the accompanying prospectus, the prospectus supplement and the product prospectus supplement if you so request by calling 1-416-866-3672.
INVESTOR SUITABILITY
The Securities may be suitable for you if:
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You fully understand the risks inherent in an investment in the Securities, including the risk of losing most of your initial investment.
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You can tolerate a loss of up to 90.00% of your initial investment.
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You believe that the Closing Level of the Reference Asset will be greater than or equal to the Starting Level on one of the three Call Dates.
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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. |
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You understand that if the Closing Level of the Reference Asset is less than the Starting Level 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 Closing Level of the Reference Asset on the Final Calculation Day (i.e., the Ending Level) is less than the Starting Level by more than 10.00%, you
will receive less, and possibly 90.00% less, than the Principal Amount at maturity.
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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 level of the Reference
Asset.
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You do not seek current income from your investment and are willing to forgo dividends paid on the stocks included in the Reference Asset (the “Reference Asset Constituent
Stocks”).
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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.
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You are willing to hold the Securities to maturity, a term of approximately 36 months, and accept that there may be little or no secondary market for the Securities.
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You are willing to accept the risk of exposure to the Eurozone equity market.
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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.
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You do not fully understand the risks inherent in an investment in the Securities, including the risk of losing most of your initial investment.
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You seek a security with a fixed term.
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You require an investment designed to guarantee a full return of principal at maturity.
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You cannot tolerate a loss of up to 90.00% of your initial investment.
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You are unwilling to accept the risk that, if the Closing Level of the Reference Asset is less than the Starting Level 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.
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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.
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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 level of the Reference
Asset.
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You seek current income from your investment or prefer to receive dividends paid on the Reference Asset Constituent Stocks.
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You are unwilling to hold the Securities to maturity, a term of approximately 36 months, or you seek an investment for which there will be a secondary market.
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You are not willing to assume the credit risk of the Bank for all payments under the Securities.
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You seek exposure to the upside performance of the Reference Asset beyond the applicable Call Premiums.
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You are not willing to accept the risk of exposure to the Eurozone equity market.
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You prefer the lower risk of fixed income investments with comparable maturities issued by companies with comparable credit ratings.
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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; and
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● |
the hypothetical pre-tax total rate of return.
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Hypothetical Call Date on which Securities are automatically called
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Hypothetical payment per Security on related Call Settlement Date
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Hypothetical pre-tax total rate of return
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1st Call Date
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$1,085.00
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8.50%
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2nd Call Date
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$1,170.00
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17.00%
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3rd Call Date
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$1,255.00
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25.50%
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● |
the hypothetical percentage change from the hypothetical Starting Level to the hypothetical Ending Level, assuming a hypothetical Starting Level of 3,500.41;
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the hypothetical Redemption Amount at Maturity per Security; and
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the hypothetical pre-tax total rate of return.
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Hypothetical
Ending Level |
Hypothetical percentage change from the hypothetical Starting Level to the hypothetical Ending Level
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Hypothetical Redemption Amount at Maturity per Security
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Hypothetical pre-tax total rate of return
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3,325.39
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-5.00%
|
$1,000.00
|
0.00%
|
3,150.37
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-10.00%
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$1,000.00
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0.00%
|
3,115.37
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-11.00%
|
$990.00
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-1.00%
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2,800.33
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-20.00%
|
$900.00
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-10.00%
|
2,625.31
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-25.00%
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$850.00
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-15.00%
|
1,750.21
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-50.00%
|
$600.00
|
-40.00%
|
875.10
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-75.00%
|
$350.00
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-65.00%
|
0.00
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-100.00%
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$100.00
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-90.00%
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Hypothetical Payments AT MATURITY On the Securities
Additional risks
InFORMATION REGARDING THE REFERENCE ASSET
Sector
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Weight (%)
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Personal & Household Goods
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10.9%
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Industrial Goods & Services
|
10.6%
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Banks
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10.3%
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Technology
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10.1%
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Health Care
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9.4%
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Chemicals
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8.1%
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Oil & Gas
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7.1%
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Insurance
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6.8%
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Utilities
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4.8%
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Telecommunications
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4.7%
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Company
|
Weight (%)
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Total S.A.
|
5.44%
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SAP SE
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4.63%
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Sanofi
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3.70%
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LVMH Moët Hennessy
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3.64%
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Linde plc
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3.58%
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Allianz SE
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3.50%
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Siemens AG
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3.21%
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Unilever N.V.
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3.13%
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ASML Holding N.V.
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2.96%
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Airbus SE
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2.80%
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Countries
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Weight (%)
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France
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39.1%
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Germany
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30.6%
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Netherlands
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10.4%
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Spain
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10.1%
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Italy
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5.0%
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Belgium
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2.7%
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Finland
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1.2%
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Ireland
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1.0%
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Index
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=
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Free Float Market Capitalization of the Index
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Divisor
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●
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application of expert judgment for index component pricing data,
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●
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adjustment of operational procedures,
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postponement of index adjustments,
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adjustment of selection lists,
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change of weights of index constituents by adjusting the number of shares, free-float factors or weighting cap-factors, or
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adjustment of index compositions.
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The rights issue shares are included into the indices with a theoretical price on the ex-date;
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The rights issue shares must be listed on an eligible stock exchange and tradable starting on the ex-date, otherwise,
only a price adjustment is made and the rights are not included;
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The rights issue shares will have the same parameters as the parent company;
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The rights issue shares will be removed at the close of the day they start to trade with traded price being available;
and
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The number of shares and weighting factors will be increased after the new rights issue shares have been listed.
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sponsor, endorse, sell or promote the Securities;
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recommend that any person invest in the Securities or any other securities;
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have any responsibility or liability for or make any decisions about the timing, amount or pricing of the Securities;
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have any responsibility or liability for the administration, management or marketing of the Securities; or
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consider the needs of the Securities or the owners of the Securities in determining, composing or calculating the Index or
have any obligation to do so.
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The Sponsor, Deutsche Borse Group and their licensors, research partners or data providers do not make any warranty,
express or implied and disclaim any and all warranty about:
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o
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the results to be obtained by the Securities, the owner of the Securities or any other person in connection with the use of
the Index and the data included in the Index;
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||
o
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the accuracy, timeliness, and completeness of the Index and its data;
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||
o
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the merchantability and the fitness for a particular purpose or use of the Index and its data; or
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||
o
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the performance of the Securities generally.
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●
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The Sponsor, Deutsche Borse Group and their licensors, research partners or data providers give no warranty and exclude
any liability, for any errors, omissions or interruptions in the Index or its data;
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●
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under no circumstances will Deutsche Borse Group and their licensors, research partners or data providers be liable
(whether in negligence or otherwise) for any lost profits or indirect, punitive, special or consequential damages or losses, arising as a result of such errors, omissions or interruptions in the Index or its data or generally in relation to
the Securities, even in circumstances where the Sponsor Deutsche Borse Group and their licensors, research partners or data providers are aware that such loss or damage may occur.
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SUPPLEMENTAL PLAN OF DISTRIBUTION (CONFLICTS OF INTEREST)
THE BANK'S ESTIMATED VALUE OF THE SECURITIES
ADDITIONAL INFORMATION ABOUT THE SECURITIES
"Security"
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The accompanying product prospectus supplement refers to a Security as a "note"
|
"Original Offering Price"
|
The accompanying product prospectus supplement refers to the Original Offering Price as the "original issue price"
|
"Final Calculation Day"
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The accompanying product prospectus supplement refers to a Final Calculation Day as a "valuation date"
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"Call Date"
|
The accompanying product prospectus supplement refers to a Call Date as a "valuation date"
|
"Starting Level"
|
The accompanying product prospectus supplement refers to the Starting Level as the "Initial Level"
|
"Ending Level"
|
The accompanying product prospectus supplement refers to the Ending Level as the "Final Level"
|
"Redemption Amount at Maturity"
|
The accompanying product prospectus supplement refers to the Redemption Amount at Maturity as the "payment at maturity"
|
"Threshold Level"
|
The accompanying product prospectus supplement refers to the Threshold Level as the "Buffer Level"
|
"Threshold Percentage"
|
The accompanying product prospectus supplement refers to the Threshold Percentage the a "Buffer Percentage"
|
“Sponsor”
|
The accompanying product prospectus supplement refers to the Sponsor as the “Index Sponsor”
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CANADIAN INCOME TAX CONSEQUENCES
U.S. FEDERAL INCOME TAX CONSEQUENCES