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Market-Linked Step Up Notes with Absolute Return Buffer Linked to a Global Equity Index Basket
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This graph reflects the hypothetical return on the notes, based on the mid-point of the range(s) set forth in the
table to the left. This graph has been prepared for purposes of illustration only.
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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 four years
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Market Measure
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A global equity index basket comprised of the Dow Jones Industrial Average® (Bloomberg symbol: “INDU”), the EURO STOXX 50®
Index (Bloomberg symbol: “SX5E”), the FTSE® 100 Index (Bloomberg symbol: “UKX”), the Nikkei Stock Average Index (Bloomberg symbol: “NKY”), the Swiss Market Index® (Bloomberg symbol: “SMI”), the S&P/ASX 200 Index
(Bloomberg symbol: “AS51”) and the Hang Seng® Index (Bloomberg symbol: “HSI”) (each, a “Basket Component”). The Dow Jones Industrial Average® will be given an initial weight of 50.00%, the EURO STOXX 50® Index
will be given an initial weight of 20.00%, each of the FTSE® 100 Index and the Nikkei Stock Average Index will be given an initial weight of 10.00%, each of the Swiss Market Index® and the S&P/ASX 200 Index will
be given an initial weight of 3.75% and the Hang Seng® Index will be given an initial weight of 2.50%
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Payout Profile at Maturity
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● If the Market Measure is flat or increases up to the Step Up Value, a return equal to the Step Up Payment
● If the Market Measure increases above the Step Up Value, a return equal to the percentage increase in the Market Measure
● A positive return equal to the absolute value of the percentage decline in the level of the Market Measure only if the Market Measure
does not decline by more than 10.00% (e.g., if the negative return of the Market Measure is -5.00%, you will receive a positive return of +5.00%)
● 1-to-1
downside exposure to decreases in the Market Measure beyond a 10% decline, with up to 90% of your principal at risk
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Step Up Value
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[126.00% to 132.00%] of the Starting Value, to be determined on the pricing date
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Step Up Payment |
[$2.60 to $3.20] per unit, a [26.00% to 32.00%] return over the principal amount, to be determined on the pricing date
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Threshold Value
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90.00% of the Starting Value
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Investment Considerations
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This investment is designed for investors who anticipate that the Market Measure will either increase over the term of the notes or
decrease to a level not below its Threshold Value and are willing to take downside risk below the Threshold Value and forgo interim interest payments.
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Preliminary Offering Documents
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Exchange Listing
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No
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Depending on the performance of the Market Measure as measured shortly before the maturity date, your investment may result in a loss;
there is no guaranteed return of principal.
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Your potential for a positive return based on the depreciation of the Market Measure is limited and may be less than that of a
comparable investment that takes a short position directly in the Basket Components (or the stocks included in the Basket Components). 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 90.00% of the Starting Value, any positive return due to the depreciation of the Market Measure is limited to 10.00%. Any decline in the Ending Value from the
Starting Value by more than 10.00% will result in a loss, rather than a positive return, on the notes. In contrast, for example, a short position in the Basket Components (or the stocks included in the Basket Components) would allow you
to receive the full benefit of any decrease in the level of the Basket Components (or the stocks included in the Basket Components).
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Payments on the notes are subject to the credit risk of BNS, and actual or perceived changes in the creditworthiness of BNS are
expected to affect the value of the notes. If BNS becomes insolvent or is unable to pay its obligations, you may lose your entire investment.
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Changes in the level of one of the Basket Components may be offset by changes in the levels of the other Basket Components.
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The initial estimated value of the notes on the pricing date will be less than their public offering price.
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If you attempt to sell the notes prior to maturity, their market value may be lower than both the public offering price and the initial
estimated value of the notes on the pricing date.
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You will have no rights of a holder of the securities included in the Basket Components or of a holder with a short position directly in the Basket
Components (or of the securities included in the Basket Components), and you will not be entitled to receive securities or dividends or other distributions by the issuers of the securities included in the Basket Components.
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Your return on the notes may be affected by factors affecting the international securities markets, specifically changes in the countries represented
by the Basket Components. In addition, you will not obtain the benefit of any increase in the value of the currencies in which the securities in the Basket Components trade against the U.S. dollar which you would have received if you had
owned the securities in the Basket Components during the term of your notes, although the value of the Basket may be adversely affected by general exchange rate movements in the market.
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